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;
Infmeans 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
predictiontime series.
error [ Series ] -
Time series with prediction errors from which the RMSEs are calculated;
erroris simply the difference betweenactualand the individual columns inprediction.