This function computes MRAE given prediction result versus evaluation set.
mrae(x, pred_bench, y, ...)# S3 method for predbvhar
mrae(x, pred_bench, y, ...)
# S3 method for bvharcv
mrae(x, pred_bench, y, ...)
MRAE vector corresponding to each variable.
Forecasting object to use
The same forecasting object from benchmark model
Test data to be compared. should be the same format with the train data.
not used
Let \(e_t = y_t - \hat{y}_t\). MRAE implements benchmark model as scaling method. Relative error is defined by $$r_t = \frac{e_t}{e_t^{\ast}}$$ where \(e_t^\ast\) is the error from the benchmark method. Then
$$MRAE = mean(\lvert r_t \rvert)$$
Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679-688.