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How calculate RMSE for ARIMA model

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New User
Posts: 1

How calculate RMSE for ARIMA model

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 

New User
Posts: 1

Re: How calculate RMSE for ARIMA model

Posted in reply to huatongfeng1

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

 

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