Metrics¶

For deterministic forecasts (point predictions with num_samples == 1), probabilistic forecasts (num_samples > 1), and quantile forecasts. For probabilistic and quantile forecasts, use parameter q to define the quantile(s) to compute the deterministic metrics on:

Aggregated over time:
Absolute metrics:
MERR: Mean Error

MAE: Mean Absolute Error

MSE: Mean Squared Error

RMSE: Root Mean Squared Error

RMSLE: Root Mean Squared Log Error
Relative metrics:
MASE: Mean Absolute Scaled Error

MSSE: Mean Squared Scaled Error

RMSSE: Root Mean Squared Scaled Error

MAPE: Mean Absolute Percentage Error

wMAPE: weighted Mean Absolute Percentage Error

sMAPE: symmetric Mean Absolute Percentage Error

OPE: Overall Percentage Error

MARRE: Mean Absolute Ranged Relative Error
Other metrics:
R2: Coefficient of Determination

CV: Coefficient of Variation
Per time step:
Absolute metrics:
ERR: Error

AE: Absolute Error

SE: Squared Error

SLE: Squared Log Error
Relative metrics:
ASE: Absolute Scaled Error

SSE: Squared Scaled Error

APE: Absolute Percentage Error

sAPE: symmetric Absolute Percentage Error

ARRE: Absolute Ranged Relative Error

For probabilistic forecasts (storchastic predictions with num_samples >> 1) and quantile forecasts:

Aggregated over time:
Quantile metrics:
MQL: Mean Quantile Loss

QR: Quantile Risk
Quantile interval metrics:
MIW: Mean Interval Width

MWS: Mean Interval Winkler Score

MIC: Mean Interval Coverage

MINCS_QR: Mean Interval Non-Conformity Score for Quantile Regression
Per time step:
Quantile metrics:
QL: Quantile Loss
Quantile interval metrics:
IW: Interval Width

WS: Interval Winkler Score

IC: Interval Coverage

INCS_QR: Interval Non-Conformity Score for Quantile Regression

For Dynamic Time Warping (DTW) (aggregated over time):

DTW: Dynamic Time Warping Metric

Metrics

Metrics