Online citations, reference lists, and bibliographies.

Another Look At Measures Of Forecast Accuracy

R. Hyndman, A. B. Koehler
Published 2006 · Mathematics
Cite This
Download PDF
Analyze on Scholarcy
Share
We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition and the M3-competition, and many of the measures recommended by previous authors on this topic, are found to be inadequate, and many of them are 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.
This paper references
10.1016/0169-2070(92)90008-W
Error Measures for Generalizing About Forecasting Methods: Empirical Comparisons
J. Scott Armstrong (1992)
Forecasting, time series and regression: an applied approach, Thomson Brooks/Cole
B. L. BOWERMAN (2004)
10.1016/0169-2070(90)90007-X
An MSE statistic for comparing forecast accuracy across series
Patrick Aaron Thompson (1990)
The asymmetry of the sAPE measure and other comments on the M3-Competition
Anne B. Koehler (2001)
Evaluating forecasting methods”, Chapter 14 in Principles of forecasting: a handbook for researchers and practitioners, ed., J.S
J. S. ARMSTRONG (2001)
10.1287/mnsc.36.4.490
Evaluating forecast performance in an inventory control system
E. S. Gardner (1990)
10.1016/S0169-2070(01)00110-8
A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods
R. Hyndman (2002)
10.1016/j.ijforecast.2005.08.002
Exponential smoothing model selection for forecasting
Baki Billah (2006)
10.1016/0169-2070(88)90127-6
Apples, oranges and mean square error
Chris Chatfield (1988)
Forecasting: Methods and Applications, 3rd Ed
Spyros Makridakis (1997)
10.1016/j.ijforecast.2004.10.003
The M3 competition: Statistical tests of the results
A. Koning (2005)
10.1016/j.ijforecast.2004.02.003
Judgmental forecasting in the presence of loss functions
Michael Lawrence (2005)
Evaluating forecasting methods ” , Chapter 14 in Principles of forecasting : a handbook for researchers and practitioners
J. S. A RMSTRONG (2001)
10.1002/for.3980010202
The accuracy of extrapolation (time series) methods: Results of a forecasting competition
Spyros Makridakis (1982)
10.1002/for.3980120802
On the Limitations of Comparing Mean Square Forecast Errors.
M. Clements (1993)
Forecasting, time series, and regression : an applied approach
Bruce Bowerman (2005)
On MAPE-R as a measure of estimation and forecast accuracy
Carolee Coleman (2005)
10.1007/978-0-306-47630-3_20
Evaluating Forecasting Methods
Jon Scott Armstrong (2001)
Elements of forecasting (2nd ed.). Cincinnati, Ohio7 South-Western
F. X. Diebold (2001)
10.1016/S0169-2070(99)00007-2
On the asymmetry of the symmetric MAPE
Paul Goodwin (1999)
10.1016/0169-2070(93)90079-3
Accuracy measures: theoretical and practical concerns☆
Spyros Makridakis (1993)
Business forecasting (5th ed.)
J. E. Hanke (1995)
Another Error Measure for Selection of the Best Forecasting Method : The Unbiased Absolute Percentage Error
Fred L. Collopy (2000)
A Commentary on Error Measures
Dennis A. Ahlburg (1992)
10.2307/1271103
Elements of Forecasting
Francis X. Diebold (1997)
10.1016/0024-6301(93)90041-d
The business of forecasting
Klaus Schrape (2001)
10.1016/S0169-2070(01)00143-1
Unmasking the Theta Method
Rob J. Hyndman (2003)
Another look at measures of forecast accuracy 18
Elements of forecasting, 2nd ed., South-Western: Cincinnati, Ohio
F. X. DIEBOLD (2001)
10.2307/3439127
Applied economic forecasting
Henri Theil (1966)
10.1016/0169-2070(92)90009-X
The evaluation of extrapolative forecasting methods
Robert Fildes (1992)
Evaluating forecasting methods Chapter 14 in Principles of forecasting: a handbook for researchers and practitioners
Armstrong (2001)
10.1016/S0169-2070(00)00057-1
The M3-Competition: results, conclusions and implications
Spyros Makridakis (2000)
10.1016/S0169-2070(00)00066-2
The theta model: a decomposition approach to forecasting
Vassilis Assimakopoulos (2000)
10.1198/tech.2002.s96
Analysis of Financial Time Series
Eric R. Ziegel (2002)
10.1002/1099-131X(200012)19:7<537::AID-FOR769>3.0.CO;2-G
Economic and statistical measures of forecast accuracy
Clive W. J. Granger (2000)



This paper is referenced by
10.1007/978-3-642-19644-7_16
Weighted Cross-Validation Evolving Artificial Neural Networks to Forecast Time Series
J. Peralta (2011)
Independent component analysis for time series
Ester Prieto (2011)
Short run and alternative macroeconomic forecasts for Romania and strategies to improve their accuracy
Bratu Simionescu Mihaela (2012)
Network behaviour anomaly detection using Holt-Winters algorithm
Jarkko Ekberg (2011)
10.18452/4402
Statistical Modelling of Temperature Risk
Zografia Anastasiadou (2012)
10.1002/FOR.1194
Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive models
Pierre Pinson (2012)
10.1016/j.infsof.2011.12.008
Evaluating prediction systems in software project estimation
Martin J. Shepperd (2012)
10.1115/1.4007448
Dynamic Partial Least Square Path Modeling for the Front-end Product Design and Development
Chathura Withanage (2012)
Distributed ARIMA Models for Ultra-long Time Series
Xiaoqian Wang (2020)
10.1007/978-3-319-05359-2_3
A Comparative Study of Traffic Properties for Web Pages Optimized for Mobile Hand-Held and Non-mobile Devices
Julius Flohr (2014)
10.1080/00405000.2017.1297014
Study on length distribution of ramie fibers
Xueqin Kuang (2017)
10.3390/ECONOMETRICS3010002
Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity
Isao Ishida (2015)
10.1016/J.INTFIN.2014.08.007
New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming
Viktor Manahov (2014)
10.1109/ISSNIP.2015.7106966
Evolving smart meter data driven model for short-term forecasting of electric loads
Harri Niska (2015)
10.1061/(ASCE)UP.1943-5444.0000197
Disaggregation of an Urban Population with M_IDW Interpolation and Building Information
Changying Yin (2015)
10.1080/00036846.2016.1158922
Forecasting US consumer price index: does nonlinearity matter?
Marcos Álvarez-Díaz (2016)
10.1063/1.4936242
Prediction in projection.
Joshua Garland (2015)
10.1145/3331449
Survey and Cross-benchmark Comparison of Remaining Time Prediction Methods in Business Process Monitoring
Ilya Verenich (2019)
10.1016/j.scitotenv.2018.08.044
An ensemble forecast model of dengue in Guangzhou, China using climate and social media surveillance data.
Pi Guo (2019)
10.1016/J.JOM.2018.05.005
Judgmental selection of forecasting models
Fotios Petropoulos (2018)
10.1007/S10663-017-9395-1
Empirical modelling of survey-based expectations for the design of economic indicators in five European regions
Oscar Claveria (2019)
Data Mining Approaches for Calculating the Energy Consumption of Buildings Within the context of the Zero Budget Sustainability service
Anna Wilbik (2016)
10.1109/CloudCom.2014.161
Vadara: Predictive Elasticity for Cloud Applications
João Loff (2014)
10.1021/ACSSYNBIO.5B00205
A Parts Database with Consensus Parameter Estimation for Synthetic Circuit Design.
Linh T. D. Huynh (2016)
Managmeent Science Working Paper 2018 : 1 Complex Exponential Smoothing for Seasonal Time Series
Ivan Svetunkov (2018)
10.18267/j.pep.601
GDP FORECASTING BY CZECH INSTITUTIONS: AN EMPIRICAL EVALUATION
Jirí Sindelár (2017)
10.2478/V10316-012-0028-3
Variables Aggregation-Source of Uncertainty in Forecasting
Mihaela Simionescu (2012)
Advances in boosting of temporal and spatial models
Nikolay Robinzonov (2013)
10.1109/EPEC.2018.8598329
On the Necessity of Exogenous Variables for Load, PV and Wind Day-Ahead Forecasts using Recurrent Neural Networks
Henning Wilms (2018)
Artificial Neural Networks Approach to Time Series Forecasting for Electricity Consumption in Gaza Strip
Samir K. Safi (2015)
New Strategies to Improve the Accuracy of Predictions based on Monte Carlo and Bootstrap Simulations: An Application to Bulgarian and Romanian Inflation
Mihaela Bratu (2014)
“ A novel measure of consensus for Likert scales ”
Oscar Claveria (2018)
See more
Semantic Scholar Logo Some data provided by SemanticScholar