I'm to write a short report on Time Series forecast comparison. I'm a beginner in the field.
I want to investigate how one chooses which model is better than the other based on the forecast results.
So far I've stumbled upon nmse, rmse, mse, and other variations of the standard error.In random papers I googled I noticed that the author presents 2 or 3 different models along with their errors and chooses the model with the smallest one.
Are these the only metrics I need to look at before I make my decision?
Are there any statistical tests that will help me better decide?
Any answer and/or pointer to a paper or a book is greatly appreciated!