This function computes MAE given prediction result versus evaluation set.
mae(x, y, ...)# S3 method for predbvhar
mae(x, y, ...)
# S3 method for bvharcv
mae(x, y, ...)
MAE vector corressponding to each variable.
Forecasting object
Test data to be compared. should be the same format with the train data.
not used
Let \(e_t = y_t - \hat{y}_t\). MAE is defined by
$$MSE = mean(\lvert e_t \rvert)$$
Some researchers prefer MAE to MSE because it is less sensitive to outliers.
Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679-688.