Journal
INTERNATIONAL JOURNAL OF FORECASTING
Volume 22, Issue 4, Pages 679-688Publisher
ELSEVIER
DOI: 10.1016/j.ijforecast.2006.03.001
Keywords
forecast accuracy; forecast evaluation; forecast error measures; M-competition; mean absolute scaled error
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We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition as well as the W-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. (c) 2006 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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