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. Author manuscript; available in PMC: 2022 Mar 1.
Published in final edited form as: Wiley Interdiscip Rev Comput Stat. 2020 Jun 16;13(2):e1514. doi: 10.1002/wics.1514

Table 3:

Metrics that in-scope articles used to evaluate both point and density forecasts. A preferred term is listed (metric column), given an abbreviation and related names reported. Whether the evaluative metric operates on a continuous or binary variable is stated and the computational formula presented.Question

Metric Abbreviation Other names Binary or Continuous target Formula

Absolute Loss AS - Categorical |P(Fi)−Oi|
Quadratic Loss QS - Categorical [P(Fi)−Oi]2
Prediction Accuracy PA - Categorical N−1∑i=1N∑1(Fi=Oi)
Brier Score BS - Categorical N−1∑i=1N[P(Fi)−Oi]2
Mean Error ME - Continuous N−1∑i=1N(Fi−Oi)
Mean Absolute Error MAE Mean Absolute Deviation (MAD) Continuous N−1∑i=1N|(Oi−Fi)|
Mean Absolute MAPE Mean Percent Error (MPE) Continuous N−1∑i=1N|(Fi/Oi−1)|
Percent Error Average percentage error (APE)
Mean Squared Error MSE - Continuous N−1∑i=1N(Fi−Oi)2
Root mean squared error RMSE Root mean squared prediction error (RMSPE) Continuous N−1∑i=1N(Fi−Oi)2
Proportion higher density PHD Continuous N−1∑i=1N1{P[F(xi)]>P[G(xi)]}
95% Coverage probability CP - Continuous N1∑i=1N1(F2.5<Oi<F97.5)
Judgemental Adjustment JA - Continuous (Fi−Gi)/Gi
Forecast Improvement FCIMP - Continuous (|Oi−Fi|−|Oi−Gi|)/Oi