how is YMSE calculated

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jialun chen
jialun chen on 21 May 2021
Commented: Shashank Gupta on 25 May 2021
[YF,YMSE] = forecast(AR_model,step,data)
Could anyone guide me on how is YMSE calculated, I couldn't find any code or algorithm for calculating YMSE?
Thank you!

Accepted Answer

Shashank Gupta
Shashank Gupta on 25 May 2021
Hi,
forecast function explicitly does not return the error matrix, The function forecasts the output of an identified time series model in to some steps into the future. Although you can use compare function and find out the goodness of fit of your predicted model. Alternately you can use your own error matrix to check if the forecast model working as intended.
I hope this helps.
Cheers.
  2 Comments
Shashank Gupta
Shashank Gupta on 25 May 2021
YMSE - Forecast error variances of future observations
For time-invariant models in which the length of each observation vector (n) is the same, this is a numPeriods-by-n matrix. For time-varying models in which the length of the observation vector changes, this is a numPeriods-by-1 cell array in which each element contains a time-varying n-element vector of forecast error variances associated with the corresponding period.
If you want to know more information for the function, You can access the code simply by
edit forecast

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