topic Re: MASE Formula used in SAS Forecast Studio? in SAS Forecasting and Econometrics

MASE Formula used in SAS Forecast Studio?

CC_SAS — Tue, 24 Sep 2019 08:42:12 GMT

Hi Community,

I searching for MASE formula used in SAS Forecast Studio. I googled but could find formula specific to SAS.

I know how it is computed in Python or R and more interested to know whether SAS uses the same formula or different.

The MASE formula which i used in python is from the below link:

https://otexts.com/fpp2/accuracy.html

FYI, we are using %fscreate() to run the forecasting jobs in SAS with model selection criteria as MASE.

Thank you

Re: MASE Formula used in SAS Forecast Studio?

Ksharp — Tue, 24 Sep 2019 11:51:30 GMT

Calling @Rick_SAS

Re: MASE Formula used in SAS Forecast Studio?

Rick_SAS — Tue, 24 Sep 2019 12:31:32 GMT

Google the documentation and you'll find it in the Appendix: Statistics of Fit:

Forecast Studio Doc

Re: MASE Formula used in SAS Forecast Studio?

CC_SAS — Tue, 24 Sep 2019 16:54:16 GMT

Hi Rick,

i have gone through the link which you shared. I could not find formula for MASE, just description is given.

Mean Absolute Scaled Error (MASE) - The mean of the absolute scaled errors.

I am looking for the formula, something similar to this

MASE=MAE / MAE(in−sample,naive)

Thanks

Re: MASE Formula used in SAS Forecast Studio?

Rick_SAS — Tue, 24 Sep 2019 17:25:34 GMT

Yes, that formula is included in the doc for Visual Forecasting.

Most of these formulas are standard and are the same across software products. What is the problem you are trying to solve? Are you getting different answers in SAS than you expected? If so, supply your data, the model you are using, and why you think the result is not correct.

Re: MASE Formula used in SAS Forecast Studio?

CC_SAS — Tue, 24 Sep 2019 18:07:19 GMT

Hi Rick,

Thanks alot for the link.

I was looking for the below description:

For a non-seasonal series, the naïve forecast is generated by using the actual value from previous record. For a seasonal series, the naïve forecast is generated by using the actual value from previous season

Thanks again 🙂

Re: MASE Formula used in SAS Forecast Studio?

Rick_SAS — Tue, 24 Sep 2019 18:27:12 GMT

I don't think I have anything more to add. I merely Googled your keywords restricted to

site:documentation.sas.com

Perhaps someone else can provide whatever further information you are looking for.

Re: MASE Formula used in SAS Forecast Studio?

mitrov — Mon, 30 Sep 2019 12:37:47 GMT

Like Rick said, the formula used by SAS is the same you linked to in Hyndman's book. They are standard definitions. Note that the link to the Visual Forecasting documentation he provided is for the weighted statistics across a group of series. This is the link to the documentation for a single series. It doesn't change much though, as they are obviously related.

https://go.documentation.sas.com/?docsetId=vfug&docsetTarget=p0uawamu7dmtc2n1cllfwajyvlko.htm&docsetVersion=8.4&locale=en

My recollection is that FS only shows the weighted statistics over all series in the forecast summary, and maybe only WMAPE. I don't remember if it shows any other weighted statistics.

If you are looking for the out-of-sample value of the statistics, you need to look at the FORECAST region. See also this:

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_esm_details10.htm&docsetVersion=15.1&locale=en#etsug_esm001158