This function computes RelMAE given prediction result versus evaluation set.
relmae(x, pred_bench, y, ...)# S3 method for predbvhar
relmae(x, pred_bench, y, ...)
# S3 method for bvharcv
relmae(x, pred_bench, y, ...)
RelMAE 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 \(e_t = y_t - \hat{y}_t\). RelMAE implements MAE of benchmark model as relative measures. Let \(MAE_b\) be the MAE of the benchmark model. Then
$$RelMAE = \frac{MAE}{MAE_b}$$
where \(MAE\) is the MAE of our model.
Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679-688.