Forecast evaluation is inevitably connected with the need to store actuals and forecasts for further analysis. The issue gets complicated when it comes to handling rolling-origin forecasts calculated for many series over multiple horizons. In designing forecast data formats it is important to provide access to all the variables required for exploratory analysis and performance measurement. We show that existing approaches used to store forecast data are not always applicable for implementing reliable cross validation techniques. Here we propose flexible yet simple data schemas allowing the storage and exchange of actuals, forecasts, and additional variables of interest. We also demonstrate how various forecast evaluation tools can be implemented based on the schemas proposed.
Comments: 16 Pages.
[v1] 2019-03-19 12:18:27
Unique-IP document downloads: 66 times
Vixra.org is a pre-print repository rather than a journal. Articles hosted may not yet have been verified by peer-review and should be treated as preliminary. In particular, anything that appears to include financial or legal advice or proposed medical treatments should be treated with due caution. Vixra.org will not be responsible for any consequences of actions that result from any form of use of any documents on this website.
Add your own feedback and questions here:
You are equally welcome to be positive or negative about any paper but please be polite. If you are being critical you must mention at least one specific error, otherwise your comment will be deleted as unhelpful.