Description Usage Arguments Value Examples
This model generates a comparison table that reports the MSE, Success Ratio, MSE Ratio, and some test statistics for a group of models being compared.
1 2 | ForCompare(..., benchmark.index=NULL, test=c("unweighted", "binary"),
h=1)
|
... |
one or more output from functions |
benchmark.index |
an integer indicating which model listed in |
test |
statistical test p values to be reported. Options include |
h |
a numeric indicating the forecast horizon used in the models. |
This function returns a data frame with the following potential columns
MSE |
the mean squared error of point forecasts for each model being compared. |
SRatio |
the success ratio of the directional forecasts for each model being compared. |
MSERatio |
the ratio of each model's MSE against that of a benchmark. |
DMW |
the p values returned from DMW tests against a benchmark indicated by |
Weighted |
p value from weighted directional forecast test. |
Unweighted |
p value from unweighted directional forecast test. |
1 2 3 4 5 | AR.For<-maeforecast(mydata, w_size=72, window="recursive",
model="ar")
Lasso.For<-maeforecast(mydata, w_size=72, window="recursive",
model="lasso")
ForCompare(AR.For, Lasso.For)
|
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