forecast_evaluation: 2 tools.
Inputs, limits and outputs are described in Fincept Forecast. Full schemas:
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Score forecasts against actuals: MAE, RMSE, MAPE, sMAPE, WAPE, MASE, RMSSE, bias, quantile and multi-quantile losses, CRPS, interval coverage, Winkler score and calibration, per series, window or aggregated (weighted); Pareto-optimal models; errors by step ahead; residual rectification.
forecast_evaluation: 2 tools.
| Tool | What it does | Notes |
|---|---|---|
forecast_evaluate | Scores model forecasts against actuals with any of 25 metrics: point (MAE, MSE, RMSE, MAPE, sMAPE, WAPE, ND, bias, cumulative error, relative MAE), scaled by the seasonal naive (MASE, MSSE, RMSSE, scaled PIS), quantile (pinball, multi-quantile, scaled CRPS) and interval (coverage, Winkler, calibration). | |
forecast_rectify | Learns how each model’s backtest error (actual minus forecast) depends on the step ahead and on chosen features, with a correction regressor per step (or one using the step as a feature), and adds the predicted error to new forecasts. |
fincept_describe_tool.