Mean absolute error

Ecology

Biology

Statistics

Multivariate statistics

Economics

Data mining

Computer science

Paleontology

Competition (biology)

Mathematics

Econometrics

Series (stratigraphy)

Measure (data warehouse)

Mean squared error

Univariate

International Journal of Forecasting

We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition as well as the M3-competition, and many of the measures recommended by previous authors on this topic, are found to be degenerate in commonly occurring situations. Instead, we propose that the mean absolute scaled error become the standard measure for comparing forecast accuracy across multiple time series.

Another look at measures of forecast accuracy