A note on the Mean Absolute Scaled Error
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.
|Keywords||forecast accuracy, forecast error measures, statistical testing|
|Persistent URL||dx.doi.org/10.1016/j.ijforecast.2015.03.008, hdl.handle.net/1765/78815|
|Series||Econometric Institute Reprint Series , ERIM Top-Core Articles|
|Journal||International Journal of Forecasting|
Franses, Ph.H.B.F. (2015). A note on the Mean Absolute Scaled Error. International Journal of Forecasting, 32, 20–22. doi:10.1016/j.ijforecast.2015.03.008