Some forecasting models in R give error terms as their output. But for TBATS, I couldnt find out that how I can see what the RMSE for my data set is. Is there any specific command that I have to use to get this value? Thanks


If you look at what tbats returns, you will see variance as one component. So

fit <- tbats(x)
rmse <- sqrt(fit$variance)

will give you the RMSE.

But even if you weren't sure what that component contained, you can always compute RMSE directly from the residuals of any model:

res <- residuals(fit)
rmse <- sqrt(mean(res^2))

You can also use the accuracy function:

fc <- forecast(fit)
  • $\begingroup$ Thank you Dr Hyndman. I knew how to compute it myself but thought there might be a specific command for that. Thanks $\endgroup$
    – user12
    Sep 18 '14 at 12:20
  • $\begingroup$ TBATS output does not include variance (May be Im intrepreting it wrong) but there is a parameter named sigma which I believe is RMSE. Am I right? $\endgroup$
    – user12
    Sep 18 '14 at 16:24
  • $\begingroup$ The above code works. variance is part of the object returned by tbats. You are confusing what is produced by print() with what is returned by tbats(). $\endgroup$ Sep 18 '14 at 22:34
  • 2
    $\begingroup$ The str command is highly undervalued. Apply it to any object to get detailed information. $\endgroup$ Sep 25 '14 at 12:47

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