Another Look at Measures of Forecast Accuracy

Rob J Hyndman () and Anne B. Koehler

No 13/05, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: 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.

Keywords: Forecast accuracy; Forecast evaluation; Forecast error measures; M-competition; Mean absolute scaled error. (search for similar items in EconPapers)
JEL-codes: C53 C52 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2005-05
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Journal Article: Another look at measures of forecast accuracy (2006)
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