accuracy_marssMLE: Return accuracy metrics

In MARSS: Multivariate Autoregressive State-Space Modeling

Return accuracy metrics

Description

This is a method for the generic accuracy function in the generics package. It is written to mimic the output from the accuracy function in the forecast package. See that package for details.

The measures calculated are:

• ME: Mean Error

• RMSE: Root Mean Squared Error

• MAE: Mean Absolute Error

• MPE: Mean Percentage Error

• MAPE: Mean Absolute Percentage Error

• MASE: Mean Absolute Scaled Error

• ACF1: Autocorrelation of errors at lag 1.

The MASE calculation is scaled using MAE of the training set naive forecasts which are simply \mathbf{y}_{t-1}.

For the training data, the metrics are shown for the one-step-ahead predictions by default (type="ytt1"). This is the prediction of \mathbf{y}_t conditioned on the data up to t-1 (and the model estimated from all the data). With type="ytT", you can compute the metrics for the fitted ytT, which is the expected value of new data at t conditioned on all the data. type does not affect test data (forecasts are past the end of the training data).

Usage

## S3 method for class 'marssPredict'
accuracy(object, x, test = NULL, type = "ytt1", verbose = FALSE, ...)
## S3 method for class 'marssMLE'
accuracy(object, x, test = NULL, type = "ytt1", verbose = FALSE, ...)

Arguments

object	A marssMLE or marssPredict object
x	A matrix or data frame with data to test against the h steps of a forecast.
test	Which time steps in training data (data model fit to) to compute accuracy for.
type	type="ytt1" is the one-step-ahead predictions. type="ytT" is the fitted ytT predictions. The former are standardly used for training data prediction metrics.
verbose	Show metrics for each time series of data.
...	Not used.

References

Hyndman, R.J. and Koehler, A.B. (2006) "Another look at measures of forecast accuracy". International Journal of Forecasting, 22(4), 679-688.

Hyndman, R.J. and Athanasopoulos, G. (2018) "Forecasting: principles and practice", 2nd ed., OTexts, Melbourne, Australia. Section 3.4 "Evaluating forecast accuracy". https://otexts.com/fpp2/accuracy.html.

Examples

dat <- t(harborSeal)
dat <- dat[c(2, 11, 12),]
train.dat <- dat[,1:12]
fit <- MARSS(train.dat, model = list(Z = factor(c("WA", "OR", "OR"))))

accuracy(fit)

# Compare to test data set
fr <- predict(fit, n.ahead=10)
test.dat <- dat[,13:22]
accuracy(fr, x=test.dat)

MARSS documentation built on May 29, 2024, 3:34 a.m.