Performance metrics#

The sktime.performance_metrics module contains metrics for evaluating and tuning time series models.

Metrics for assessing model performance.

Forecasting#

Classes#

MeanAbsoluteScaledError([multioutput, …])

Mean absolute scaled error (MASE).

MedianAbsoluteScaledError([multioutput, …])

Median absolute scaled error (MdASE).

MeanSquaredScaledError([multioutput, …])

Mean squared scaled error (MSSE) or root mean squared scaled error (RMSSE).

MedianSquaredScaledError([multioutput, …])

Median squared scaled error (MdSSE) or root median squared scaled error (RMdSSE).

MeanAbsoluteError([multioutput, multilevel])

Mean absolute error (MAE).

MeanSquaredError([multioutput, multilevel, …])

Mean squared error (MSE) or root mean squared error (RMSE).

MedianAbsoluteError([multioutput, multilevel])

Median absolute error (MdAE).

MedianSquaredError([multioutput, …])

Median squared error (MdSE) or root median squared error (RMdSE).

GeometricMeanAbsoluteError([multioutput, …])

Geometric mean absolute error (GMAE).

GeometricMeanSquaredError([multioutput, …])

Geometric mean squared error (GMSE) or Root geometric mean squared error (RGMSE).

MeanAbsolutePercentageError([multioutput, …])

Mean absolute percentage error (MAPE) or symmetric version.

MedianAbsolutePercentageError([multioutput, …])

Median absolute percentage error (MdAPE) or symmetric version.

MeanSquaredPercentageError([multioutput, …])

Mean squared percentage error (MSPE) or square root version.

MedianSquaredPercentageError([multioutput, …])

Median squared percentage error (MdSPE) or square root version.

MeanRelativeAbsoluteError([multioutput, …])

Mean relative absolute error (MRAE).

MedianRelativeAbsoluteError([multioutput, …])

Median relative absolute error (MdRAE).

GeometricMeanRelativeAbsoluteError([…])

Geometric mean relative absolute error (GMRAE).

GeometricMeanRelativeSquaredError([…])

Geometric mean relative squared error (GMRSE).

MeanAsymmetricError([multioutput, …])

Calculate mean of asymmetric loss function.

MeanLinexError([a, b, multioutput, multilevel])

Calculate mean linex error.

RelativeLoss([multioutput, multilevel, …])

Calculate relative loss of forecast versus benchmark forecast.

Functions#

make_forecasting_scorer(func[, name, …])

Create a metric class from a metric functions.

mean_absolute_scaled_error(y_true, y_pred[, …])

Mean absolute scaled error (MASE).

median_absolute_scaled_error(y_true, y_pred)

Median absolute scaled error (MdASE).

mean_squared_scaled_error(y_true, y_pred[, …])

Mean squared scaled error (MSSE) or root mean squared scaled error (RMSSE).

median_squared_scaled_error(y_true, y_pred)

Median squared scaled error (MdSSE) or root median squared scaled error (RMdSSE).

mean_absolute_error(y_true, y_pred[, …])

Mean absolute error (MAE).

mean_squared_error(y_true, y_pred[, …])

Mean squared error (MSE) or root mean squared error (RMSE).

median_absolute_error(y_true, y_pred[, …])

Median absolute error (MdAE).

median_squared_error(y_true, y_pred[, …])

Median squared error (MdSE) or root median squared error (RMdSE).

geometric_mean_absolute_error(y_true, y_pred)

Geometric mean absolute error (GMAE).

geometric_mean_squared_error(y_true, y_pred)

Geometric mean squared error (GMSE) or Root geometric mean squared error (RGMSE).

mean_absolute_percentage_error(y_true, y_pred)

Mean absolute percentage error (MAPE) or symmetric version.

median_absolute_percentage_error(y_true, y_pred)

Median absolute percentage error (MdAPE) or symmetric version.

mean_squared_percentage_error(y_true, y_pred)

Mean squared percentage error (MSPE) or square root version.

median_squared_percentage_error(y_true, y_pred)

Median squared percentage error (MdSPE) or square root version.

mean_relative_absolute_error(y_true, y_pred)

Mean relative absolute error (MRAE).

median_relative_absolute_error(y_true, y_pred)

Median relative absolute error (MdRAE).

geometric_mean_relative_absolute_error(…)

Geometric mean relative absolute error (GMRAE).

geometric_mean_relative_squared_error(…[, …])

Geometric mean relative squared error (GMRSE).

mean_asymmetric_error(y_true, y_pred[, …])

Calculate mean of asymmetric loss function.

mean_linex_error(y_true, y_pred[, a, b, …])

Calculate mean linex error.

relative_loss(y_true, y_pred[, …])

Relative loss of forecast versus benchmark forecast for a given metric.