• Corpus ID: 2802742

Measuring forecast accuracy

@inproceedings{Hyndman2014MeasuringFA,
  title={Measuring forecast accuracy},
  author={Rob J Hyndman},
  year={2014}
}
It is important to evaluate forecast accuracy using genuine forecasts. That is, it is invalid to look at how well a model fits the historical data; the accuracy of forecasts can only be determined by considering how well a model performs on new data that were not used when estimating the model. When choosing models, it is common to use a portion of the available data for testing, and use the rest of the data for estimating (or “training”) the model. Then the testing data can be used to measure… 
robjhyndman.com
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References

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Another look at measures of forecast accuracy

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Two automatic forecasting algorithms that have been implemented in the forecast package for R, based on innovations state space models that underly exponential smoothing methods, are described.

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