This function computes MRAE given prediction result versus evaluation set.
Usage
mrae(x, pred_bench, y, ...)
# S3 method for class 'predbvhar'
mrae(x, pred_bench, y, ...)
# S3 method for class 'bvharcv'
mrae(x, pred_bench, y, ...)
Arguments
- x
Forecasting object to use
- pred_bench
The same forecasting object from benchmark model
- y
Test data to be compared. should be the same format with the train data.
- ...
not used
Value
MRAE vector corresponding to each variable.
Details
Let \(e_t = y_t - \hat{y}_t\).
MRAE implements benchmark model as scaling method.
Relative error is defined by
$$r_t = \frac{e_t}{e_t^{\ast}}$$
where \(e_t^\ast\) is the error from the benchmark method.
Then
$$MRAE = mean(\lvert r_t \rvert)$$
References
Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679-688.
