Forecasting using SAS Forecast Server, SAS/ETS, and more

SAS Forecast Studio: How should I read Holdout MAPE?

Reply
New Contributor
Posts: 2

SAS Forecast Studio: How should I read Holdout MAPE?

Holdout MAPE is smaller than MAPE. How should I interpret that?

 

How holdout MAPE is calculated?

SAS Employee
Posts: 416

Re: SAS Forecast Studio: How should I read Holdout MAPE?

[ Edited ]

Hello -

This discussion: https://communities.sas.com/t5/Forecasting-and-Econometrics/out-of-sample-range-and-holdout-sample/m... might be of interest.

 

To answer your questions: the MAPE calculations only differ in the data which is considered. If your hold out MAPE is smaller than your fit MAPE this can indicate that your model seems to perform better on data which was not used for parameter estimation, which is a good thing typically. But you may want to verify this behaviour by adding out of sample data.

 

Thanks,

Udo

 

PS: http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_tffordet_sect0...

Ask a Question
Discussion stats
  • 1 reply
  • 317 views
  • 0 likes
  • 2 in conversation