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The MSE either assesses the quality of a predictor (i.e., a function mapping arbitrary inputs to a sample of values of some random variable), or of an estimator (i.e., a mathematical function mapping a sample of data to an estimate of a parameter of the population from which the data is sampled).
When the model has been estimated over all available data with none held back, the MSPE of the model over the entire population of mostly unobserved data can be estimated as follows.
For random vectors, since the MSE for estimation of a random vector is the sum of the MSEs of the coordinates, finding the MMSE estimator of a random vector decomposes into finding the MMSE estimators of the coordinates of X separately: {(()) ()} =, for all i and j
In some disciplines, the RMSD is used to compare differences between two things that may vary, neither of which is accepted as the "standard". For example, when measuring the average difference between two time series x 1 , t {\displaystyle x_{1,t}} and x 2 , t {\displaystyle x_{2,t}} , the formula becomes
Asymptotic normality of the MASE: The Diebold-Mariano test for one-step forecasts is used to test the statistical significance of the difference between two sets of forecasts. [ 5 ] [ 6 ] [ 7 ] To perform hypothesis testing with the Diebold-Mariano test statistic, it is desirable for D M ∼ N ( 0 , 1 ) {\displaystyle DM\sim N(0,1)} , where D M ...
The absolute difference between A t and F t is divided by half the sum of absolute values of the actual value A t and the forecast value F t. The value of this calculation is summed for every fitted point t and divided again by the number of fitted points n.
Getting an MBA vs. a Master's in Finance or Economics, mbapodcaster.com; Applying to graduate school in economics, davidson.edu; Books to Study Before Going to Graduate School in Economics Archived 2011-07-07 at the Wayback Machine, economics.about.com; Lists of programs. Alphabetical List of U.S. Programs
One by one, a set is selected as inner test (validation) set and the l - 1 other sets are combined into the corresponding inner training set. This is repeated for each of the l sets. The inner training sets are used to fit model parameters, while the outer test set is used as a validation set to provide an unbiased evaluation of the model fit.