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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

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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