A note on the Mean Absolute Scaled Error

Research output: Contribution to journalArticleAcademicpeer-review

87 Citations (Scopus)
796 Downloads (Pure)

Abstract

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.
Original languageEnglish
Pages (from-to)20-22
Number of pages4
JournalInternational Journal of Forecasting
Volume32
Issue number1
DOIs
Publication statusPublished - 2016

Fingerprint

Dive into the research topics of 'A note on the Mean Absolute Scaled Error'. Together they form a unique fingerprint.

Cite this