relative_metrics#

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Axis relative_metrics on sub-layer L5_A_metric_specification (layer l5).

Sub-layer#

L5_A_metric_specification

Axis metadata#

  • Default: ['relative_mse', 'r2_oos']

  • Sweepable: False

  • Status: operational

Operational status summary#

  • Operational: 4 option(s)

  • Future: 0 option(s)

Options#

mse_reduction – operational#

MSE_benchmark - MSE_model (absolute MSE reduction) – positive means the candidate beats the benchmark.

See mse_reduction function page for full documentation + parameters + standalone usage. Standalone: mf.functions.mse_reduction.

r2_oos – operational#

Out-of-sample R² (Campbell-Thompson 2008) – 1 - SSE_model / SSE_benchmark.

See r2_oos function page for full documentation + parameters + standalone usage. Standalone: mf.functions.r2_oos.

relative_mae – operational#

Forecast MAE divided by the L4 is_benchmark model’s MAE.

See relative_mae function page for full documentation + parameters + standalone usage. Standalone: mf.functions.relative_mae.

relative_mse – operational#

Forecast MSE divided by the L4 is_benchmark model’s MSE.

See relative_mse function page for full documentation + parameters + standalone usage. Standalone: mf.functions.relative_mse.