rmse
(Series)
Calculate RMSE for given observations and predictions
Syntax
[rmse, error] = rmse(inputSeries, prediction, ...)
Input arguments
actual
[ Series ]
Input time series with actual observations.
prediction
[ Series ]
Input time series with predictions, possibly including multiple prediction horizons in individual columns; this is typically the outcome of running a Kalman filter with the option
Ahead=
.
Options
Range=Inf
[ Dater | Inf
]
Date range on which the prediction errors will be calculated;
Inf
means all observations available will be included in the calculations.
Output arguments
rootMSE
[ numeric ]
Numeric array with root mean squared errors for each column of the
prediction
time series.
error
[ Series ] -
Time series with prediction errors from which the RMSEs are calculated;
error
is simply the difference betweenactual
and the individual columns inprediction
.