ForecastAccuracy.jl
Implementation of forecast accuracy measures.
Installation
To install the package you can use Pkg.add
it as follows:
pkg> add ForecastAccuracy
Contributing
Contributions to this package are more than welcome, if you find a bug or have any suggestions for the documentation please post it on the github issue tracker.
When contributing please note that the package follows the JuMP style guide.
Accuracy measures
ForecastAccuracy.me
— Functionme(real::Vector{T}, forecast::Vector{T}) where T
Mean Error.
ForecastAccuracy.mde
— Functionmde(real::Vector{T}, forecast::Vector{T}) where T
Median Error.
ForecastAccuracy.mae
— Functionmae(real::Vector{T}, forecast::Vector{T}) where T
Mean Absolute Error.
ForecastAccuracy.gmae
— Functiongmae(real::Vector{T}, forecast::Vector{T}) where T
Geometric Mean Absolute Error.
ForecastAccuracy.mdae
— Functionmdae(real::Vector{T}, forecast::Vector{T}) where T
Median Absolute Error.
ForecastAccuracy.mse
— Functionmse(real::Vector{T}, forecast::Vector{T}) where T
Mean Square Error.
ForecastAccuracy.mdse
— Functionmdse(real::Vector{T}, forecast::Vector{T}) where T
Median Square Error.
ForecastAccuracy.rmse
— Functionrmse(real::Vector{T}, forecast::Vector{T}) where T
Root Mean Squared Error.
ForecastAccuracy.mpe
— Functionmpe(real::Vector{T}, forecast::Vector{T}) where T
Mean Percentual Error.
ForecastAccuracy.mdpe
— Functionmdpe(real::Vector{T}, forecast::Vector{T}) where T
Median Percentual Error.
ForecastAccuracy.mape
— Functionmape(real::Vector{T}, forecast::Vector{T}) where T
Mean Absolute Percentual Error.
ForecastAccuracy.mdape
— Functionmdape(real::Vector{T}, forecast::Vector{T}) where T
Median Absolute Percentual Error.
ForecastAccuracy.smape
— Functionsmape(real::Vector{T}, forecast::Vector{T}) where T
Symmetric Mean Absolute Percentual Error.
ForecastAccuracy.smdape
— Functionsmdape(real::Vector{T}, forecast::Vector{T}) where T
Symmetric Median Absolute Percentual Error.
ForecastAccuracy.maape
— Functionmaape(real::Vector{T}, forecast::Vector{T}) where T
Mean Arctangent Absolute Percentage Error. As developed in https://www.sciencedirect.com/science/article/pii/S0169207016000121
ForecastAccuracy.mase
— Functionmase(real::Vector{T}, forecast::Vector{T}; steps_ahead::Int = 1) where T
Mean Absolute Scaled Error. As developed in https://robjhyndman.com/papers/mase.pdf
ForecastAccuracy.mdase
— Functionmdase(real::Vector{T}, forecast::Vector{T}; steps_ahead::Int = 1) where T
Median Absolute Scaled Error. As developed in https://robjhyndman.com/papers/mase.pdf
ForecastAccuracy.rmsse
— Functionrmsse(real::Vector{T}, forecast::Vector{T}; steps_ahead::Int = 1) where T
Root Mean Squared Scaled Error.
ForecastAccuracy.pl
— Functionpl(real::Vector{T}, quantile_forecast::Vector{T}, tau::T) where T
Pinball loss function defined in terms of the quantile tau