Assessing the statistical characteristics of the mean absolute error or forecasting

Lap Ming Wun*, W.l. Pearn

*Corresponding author for this work

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

This paper assesses some general statistical characteristics of the mean absolute error of forecasting (MAEF). It shows that the MAEF is the sample estimate of the expected value of the absolute error of forecasting, and derives its mean and variance. The Central Limit Theorem is applied to establish the limiting distribution of the standardized MAEF. These results should be useful when the MAEF is used as a statistical performance criterion.

Original languageEnglish
Pages (from-to)335-337
Number of pages3
JournalInternational Journal of Forecasting
Volume7
Issue number3
DOIs
StatePublished - 1 Jan 1991

Keywords

  • Mean absolute error
  • Mean absolute error of forecasting

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