Another look at measures of forecast accuracy
RJ Hyndman, AB Koehler - International journal of forecasting, 2006 - Elsevier
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.
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.
