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3h
comment Optim error training ARIMA model in R
@javlacalle: the post you link to is completely different. Did you paste in the wrong link?
16h
comment Which is the best accuracy measuring criteria among rmse, mae & mape?
... Right now, the question is somewhat similar to "I know horsepower, top speed and price, how can I decide which car is best for me?" You first need to decide whether you need to take kids to school or not, whether you need to drive only two miles back and forth every day or sixty, whether you are a plumber and need to carry all of your tools and spare parts around and so forth.
16h
comment Which is the best accuracy measuring criteria among rmse, mae & mape?
As @Glen_b notes, this very much depends on what you want to do with your forecasts, i.e., your loss function. What kinds of errors hurt you the most? Will a slightly biased but accurate forecast be better than an unbiased but highly variable one? You will need to think about what subsequent decisions are driven by the forecast...
16h
comment Which is the best accuracy measuring criteria among rmse, mae & mape?
-1. As @RobHyndman notes, AIC(c) cannot be compared between ets and auto.arima models, and the OP explicitly asks about exactly this comparison. Plus, AIC(c) is usually (and historically, from Akaike's original papers) only computed in-sample, not out-of-sample - it provides guidance about which model is closest to an unknown data-generating process, which is related to, but not identical to the question which model yields the best out-of-sample accuracy - and we still haven't gone into the question of what "best accuracy" means.
16h
revised Which is the best accuracy measuring criteria among rmse, mae & mape?
added tags
1d
comment How to measure probabilistic forecast accuracy?
... Hyndman & Athanasopoulos do everything with R, so their book serves as a nice introduction to forecasting using R. Good luck!
1d
comment How to measure probabilistic forecast accuracy?
Ah. I'd recommend you look into a standard forecasting textbook, e.g., Ord & Fildes, Principles of Business Forecasting, section 5.2 and others, where prediction intervals are calculated using a normal distribution approach. Hyndman & Athanosopoulos unfortunately don't cover density forecasting. As to scoring rules, I don't really think there is a clear "best" one in your case - just pick one that you can implement easily. However, you will likely at least need normal distribution tables, so it would be good if you looked at R....
2d
answered How to measure probabilistic forecast accuracy?
2d
comment How to measure probabilistic forecast accuracy?
By "inherently ordinal", I meant whether your underlying problem is ordinal, or whether the example you used just happened to be ordinal. Apparently, it's the former.
2d
revised How to interpret daily vs. hourly “% chance of rain” precipitation forecasts?
edited title
2d
revised ARMA when ARIMA should be used
edited tags
2d
comment How to calculate consensus of probabilistic forecasts?
One alternative would be to do it the other way around: ask your forecasters for a mean forecast, as well as 25% and 75% prediction quantiles (possibly even 10% and 90%). The Survey of Professional Forecasters by the Philadelphia Fed has been doing this for decades. You may want to dig through their website on how they combine the individual quantile forecasts.
2d
comment Why is my classification tree predicting only a few classes but not every class?
How frequent are all categories in your training set?
2d
answered How to calculate consensus of probabilistic forecasts?
2d
revised How to measure probabilistic forecast accuracy?
edited tags
2d
comment How to measure probabilistic forecast accuracy?
Is your data inherently ordinal, as @RobertF appears to assume? If so, this adds complexity, as he writes, and it would be good if you could edit this into your post. If not, you can use proper scoring rules, like the Brier or others. And yes, you can average them.
Apr
27
revised Single prediction vs. summing more granular n-step ahead predictions
edited tags
Apr
27
answered Single prediction vs. summing more granular n-step ahead predictions
Apr
26
comment What is Ideal Point Error (IPE)?
I have never heard of this error measure, although I have been active in forecasting for a decade now. You never stop learning. An internet search for "Ideal Point Error" yields a number of results that look helpful.
Apr
26
comment What is Ideal Point Error (IPE)?
If you have been asked to develop this, then we won't be able to tell you what it is. Are you tasked to implement an existing error measure? Can you clarify your question?