How calculate RMSE for ARIMA model

huatongfeng1 — Sat, 26 Nov 2016 19:44:46 GMT

Hi,

I have run a couple of different ARIMA model. i want to rank the models based on RMSE or MAE.

However, i do not know how to get RMSE and MAE. the resluts show AIC and SBC.

regards

Thanks

Re: How calculate RMSE for ARIMA model

Kartik97 — Sun, 26 Mar 2017 04:48:36 GMT

You can easily calculate the RMSE errors and also some other errors like Mean Percentage error (MPE) by using the accuracy function.

ex:

If the name of your model is name

then RMSE is calculated as :

accuracy(name)

which will give:

ME RMSE MAE MPE MAPE MASE ACF1
Training set 0.05576569 8.313739 6.227064 395.7271 576.6584 0.5128541 -0.09583192