- fix rmse: aligned targets and forecasts for calculation

- implement nmrse
This commit is contained in:
Felipe Vianna 2021-02-23 14:32:46 +01:00
parent f883865132
commit d5c4482f20

View File

@ -29,7 +29,7 @@ def acf(data, k):
return 1 / ((n - k) * sigma) * s
def rmse(targets, forecasts):
def rmse(targets, forecasts, order, steps_ahead):
"""
Root Mean Squared Error
@ -41,7 +41,13 @@ def rmse(targets, forecasts):
targets = np.array(targets)
if isinstance(forecasts, list):
forecasts = np.array(forecasts)
return np.sqrt(np.nanmean((targets - forecasts) ** 2))
return np.sqrt(np.nanmean((targets[order+steps_ahead:] - forecasts[:-steps_ahead]) ** 2))
def nmrse(targets, forecasts, order, steps_ahead):
""" Normalized Root Mean Squared Error """
return rmse(targets, forecasts, order, steps_ahead) / (np.max(targets) - np.min(targets)) ## normalizing in targets because on forecasts might explode to inf (when model predict a line)
def rmse_interval(targets, forecasts):