Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
998541 | International Journal of Forecasting | 2006 | 10 Pages |
Abstract
We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition as well as the M3-competition, and many of the measures recommended by previous authors on this topic, are found to be degenerate in commonly occurring situations. Instead, we propose that the mean absolute scaled error become the standard measure for comparing forecast accuracy across multiple time series.
Related Topics
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Authors
Rob J. Hyndman, Anne B. Koehler,