Accuracy measures for forecast model
Returns range of summary measures of the forecast accuracy. If
x is provided, the function measures out-of-sample forecast accuracy
based on x-f. If
x is not provided, the function produces in-sample accuracy measures of the one-step forecasts based on f["x"]-fitted(f).
All measures are defined and discussed in Hyndman and Koehler (2006).
accuracy(f, x, test=1:length(x),lambda=NULL)
- An object of class
"forecast", or a numerical vector containing forecasts.
- An optional numerical vector containing actual values of the same length as object.
- Indicator of which elements of x and f to test.
- Box-Cox parameter. If present, function backtransforms data and forecasts using
- Vector giving forecast accuracy measures.
Hyndman, R.J. and Koehler, A.B. (2006) "Another look at measures of forecast accuracy". International Journal of Forecasting, 22(4).
fit1 <- rwf(EuStockMarkets[1:200,1],h=100) fit2 <- meanf(EuStockMarkets[1:200,1],h=100) accuracy(fit1) accuracy(fit2) accuracy(fit1,EuStockMarkets[201:300,1]) accuracy(fit2,EuStockMarkets[201:300,1]) plot(fit1) lines(EuStockMarkets[1:300,1])