fcast_accuracy

Calculate forecast accuracy on test set according to a specified criterion

A novel meta-learning framework for forecast model selection using time series features. Many applications require a large number of time series to be forecast. Providing better forecasts for these time series is important in decision and policy making. We propose a classification framework which selects forecast models based on features calculated from the time series. We call this framework FFORMS (Feature-based FORecast Model Selection). FFORMS builds a mapping that relates the features of time series to the best forecast model using a random forest. 'seer' package is the implementation of the FFORMS algorithm. For more details see our paper at <https://www.monash.edu/business/econometrics-and-business-statistics/research/publications/ebs/wp06-2018.pdf>.

Thiyanga Talagala

seer

Feature-Based Forecast Model Selection

Rob J Hyndman

George Athanasopoulos

fcast_accuracy function

<dl><dt>tslist</dt>
<dd>a list of time series</dd>
<dt>models</dt>
<dd>a vector of models to compute</dd>
<dt>database</dt>
<dd>whether the time series is from mcomp or other</dd>
<dt>accuracyFun</dt>
<dd>function to calculate the accuracy measure, the arguments
for the accuracy function should be training, test and forecast</dd>
<dt>h</dt>
<dd>forecast horizon</dd>
<dt>length_out</dt>
<dd>number of measures calculated by a single function</dd>
<dt>fcast_save</dt>
<dd>if the argument is TRUE, forecasts from each series are saved</dd></dl>

Arguments

Author

calculate forecast accuracy from different forecasting methods — fcast_accuracy

<dl>

<dt>tslist</dt>
<dd>a list of time series</dd>


<dt>models</dt>
<dd>a vector of models to compute</dd>


<dt>database</dt>
<dd>whether the time series is from mcomp or other</dd>


<dt>accuracyFun</dt>
<dd>function to calculate the accuracy measure, the arguments
for the accuracy function should be training, test and forecast</dd>


<dt>h</dt>
<dd>forecast horizon</dd>


<dt>length_out</dt>
<dd>number of measures calculated by a single function</dd>


<dt>fcast_save</dt>
<dd>if the argument is TRUE, forecasts from each series are saved</dd>

</dl>

fcast_accuracy: calculate forecast accuracy from different forecasting methods

Description

Usage

Value

Arguments

Author