Evaluate the Model Based on MSE (Mean Square Error)

This function computes MSE given prediction result versus evaluation set.

Usage

mse(x, y, ...)

# S3 method for class 'predbvhar'
mse(x, y, ...)

# S3 method for class 'bvharcv'
mse(x, y, ...)

Arguments

x

Forecasting object

y

Test data to be compared. should be the same format with the train data.

...

not used

Value

MSE vector corresponding to each variable.

Details

Let \(e_t = y_t - \hat{y}_t\). Then $$MSE = mean(e_t^2)$$ MSE is the most used accuracy measure.

References

Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679-688.