A note on the Mean Absolute Scaled Error

被引：91

作者：

Franses, Philip Hans ^{[1
]}

机构：

[1] Erasmus Sch Econ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2016年 / 32卷 / 01期

关键词：

Forecast accuracy; Forecast error measures; Statistical testing; ACCURACY;

D O I：

10.1016/j.ijforecast.2015.03.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Hyndman and Koehler (2006) recommend that the Mean Absolute Scaled Error (MASE) should become the standard when comparing forecast accuracies. This note supports their claim by showing that the MASE fits nicely within the standard statistical procedures initiated by Diebold and Mariano (1995) for testing equal forecast accuracies. Various other criteria do not fit, as they do not imply the relevant moment properties, and this is illustrated in some simulation experiments. (C) 2015 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

引用

页码：20 / 22

页数：3