Questions tagged [mase]

The Mean Absolute Scaled Error (MASE) was proposed by Hyndman & Koehler (2006, *International Journal of Forecasting*) as a scale free accuracy measure for point forecasts. It is defined as the ratio of the MAE to the one-step MAE achieved *in-sample* (this is frequently gotten wrong) by a simple benchmark method (often the naive random walk forecast).

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Understanding MASE Value

I've looked through many of the other posts concerning the Mean Absolute Scaled Error (MASE) forecast metric and haven't been able to sort out my problem just yet. I'm working with some weather ...
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Mean Absolute Scaled Error implementation on multistep time series forecast

The formula for MASE can be found here: https://en.wikipedia.org/wiki/Mean_absolute_scaled_error I am building a multi-step time series forecaster and I want to use MASE as a measure of prediction ...
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How can MASE (Mean Absolute Scaled Error) score value be interpreted for non time series data?

If I have used MASE to calculate non time-series data error (as described by Dr. Rob Hyndman here), how can I know if the score received is good or not? Since it is not a time-series, a random walk ...
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MASE and handling nan-values

I'd like to ask advice on how to correctly compute Mean Absolute Scaled Error (2006, Hyndman, Rob J., and Anne B. Koehler.) over the following example: ...
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Can I roll-up forecasts to analyze against benchmark methods?

There's a software product (call it Main) we use to allocate parts to various locations. The way it works is it sums up the demand history of all locations to the part level. For example, if part A ...
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Is it statistically valid to compare error measures for different sized samples?

I have forecasts for different sized samples using a variety of methods like DES (Double Exponential Smoothing), SES, MA and WA (Weighted Average) to test the strength of the forecasting models. The ...
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why is the MSE error higher than MASE and MAPE?

I have a product price time series when I apply two models on them, I calculate all of MSE (Mean Squared Error), MASE (Mean Absolute Scaled Error), and MAPE (Mean Absolute Percentage Error). I noticed ...
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228 views

Confused about h-step ahead forecasts

I have 12 months of in-sample data and 12 months of out-of-sample data. I'm trying to calculate the scaled error for an h-step ahead forecast where h=1, 6 and 12. Do I just calculate the error at ...
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Can MASE be calculated for a single horizon but for multiple series?

I have 600 series and I want to calculate the MASE for horizons 1, 3, 6, 8, 10 and 12. I've seen the work of Nikolaos Kourentzes where he calculates an ASE (no Mean) for each of three time horizons ...
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25 views

Why am I getting different responses from MASE calculations and normality of residuals?

My company uses an inventory model (call it IM) to order parts. I have two years of data (Jan 2016 to Dec 2017) that show how many parts were actually ordered and as well as a forecast from Jan-Dec ...
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Is a MASE calculation meaningful if the Test Set is all zeros?

I'm dealing with a dataset of intermittent demand (orders) for the inventory of over 6000 parts. I've extracted one of the parts just to show the type of output I'm getting for a MASE calculation. ...
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101 views

Can MASE be used with a rolling forecast?

I have four years of monthly data, but I want to use three years to test the forecast of a model which uses only one year of historical data in a rolling way. For example: historical data from Jan-...
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233 views

Is MASE specified only to time series data

Will it be correct to use Mean absolute scaled error in non time series data? I've got a set which contains a lot of zeros, so errors like MAPE can not be used here. MASE based on difference between ...
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486 views

Multi-input, multi-output time series regression loss using MASE

I have a time series regression that, given a set of lagged values, predicts all of the values from one step ahead to a given horizon. I'm trying to calculate the MASE for this, but am having a ...
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Why is MASE scaled by the mean absolute error produced by a naive forecast calculated on the in-sample data

Wouldn't a better scaling factor be with the MAE produced by a naive forecast on the test data itself? When evaluating MASE for the training set, this essentially becomes a comparison for the ...
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How to interpret MASE for longer horizon forecasts?

After looking at Hyndman and Koehler, 2006 and applying the metric to my own data, I have been convinced that MASE is a better metric for evaluating forecast error than the method I had been ...
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Can I use mean absolute scaled error (MASE) from the accuracy function for time series cross validation?

I am using the "forecast" package in R to forecast time series data. I am programming some time series cross validation based off of reading resources from Rob J Hyndman. The last paragraph on page 7 ...
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Is MASE / Mean Absolute Scaled Error and the usually described denominator appropriate in this case?

I have read through: http://robjhyndman.com/hyndsight/smape/ and https://www.otexts.org/fpp/2/5 and a lot of Hyndman, R. J. and Koehler, A. B. (2006) ‘Another look at measures of forecast accuracy’, ...
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584 views

Calculate MASE for time series with multiple seasonalities

What is an appropriate way to calculate the MASE accuracy measure (Link) for a time series with multiple seasonalities? For example: daily data with a strong weekly pattern and annual pattern. ...
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Time series data pre processing - model improves?

I have a time series that includes some rare extreme values. We are talking about daily data, in total 1461 observations and 11 extreme values. I adjusted those 11 values with a multiple regression. ...
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2k views

Acceptable limit for MASE

What are good sign of fit from result of forecast::accuracy. How to interpret ...
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425 views

Calculating MASE Scores for Individual Participants

I have run a controlled experiment in which 30 participants made one step ahead forecasts under two separate conditions. I want to know if there is a difference in error scores between the two ...
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ARIMA: How to interpret MAPE?

I am using the forecast package in R to generate an ARIMA model for my data. I started with the auto.arima function for a try and got a ARIMA(1,1,2) model. ...
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Mean Absolute Scaled Error [duplicate]

Right now, I am analyzing the prediction quality of a dynamic model that has variables with different units (e.g. $x_{1,t}$ is in meters, $x_{2,t}$ is in kilograms etc.). I have discovered a great ...
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Interpretation of mean absolute scaled error (MASE)

Mean absolute scaled error (MASE) is a measure of forecast accuracy proposed by Koehler & Hyndman (2006). $$MASE=\frac{MAE}{MAE_{in-sample, \, naive}}$$ where $MAE$ is the mean absolute error ...
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Time series forecasting accuracy measures: MAPE and MASE

We come to this toy example showing MAPE and MASE are not consistent when measuring forecasting accuracy. Data consist of 100 white noise and 100 $AR(1)$ time series with length $N=500$, mean $\mu=1$ ...
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540 views

Alternative to MAPE when the data is not a time series

I have a data set where many of the actual values are zero, so I can't use MAPE. It's not a time series, so I can't use MASE ala our very own Rob Hyndman. Is there another alternative to MAPE that I ...
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382 views

R : accuracy.gts, no MASE with monthly data

I have a problem similar to the one presented in this post : https://stackoverflow.com/questions/11092536/forecast-accuracy-no-mase-with-two-vectors-as-arguments even if it's maybe not related. I'm ...