Merge pull request #38 from felipenv/master
- fix rmse: aligned targets and forecasts for calculation
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commit
e536b0d8eb
@ -29,7 +29,7 @@ def acf(data, k):
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return 1 / ((n - k) * sigma) * s
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def rmse(targets, forecasts):
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def rmse(targets, forecasts, order, steps_ahead):
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"""
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Root Mean Squared Error
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@ -41,9 +41,15 @@ def rmse(targets, forecasts):
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targets = np.array(targets)
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if isinstance(forecasts, list):
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forecasts = np.array(forecasts)
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return np.sqrt(np.nanmean((targets - forecasts) ** 2))
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return np.sqrt(np.nanmean((targets[order+steps_ahead:] - forecasts[:-steps_ahead]) ** 2))
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def nmrse(targets, forecasts, order, steps_ahead):
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""" Normalized Root Mean Squared Error """
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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)
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def rmse_interval(targets, forecasts):
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"""
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Root Mean Squared Error
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