@stdlib/stats-incr-mmape
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    incrmmape

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    Compute a moving mean absolute percentage error incrementally.

    For a window of size W, the mean absolute percentage error is defined as

    Equation for the mean absolute percentage error.

    where f_i is the forecast value and a_i is the actual value.

    Installation

    npm install @stdlib/stats-incr-mmape

    Usage

    var incrmmape = require( '@stdlib/stats-incr-mmape' );

    incrmmape( window )

    Returns an accumulator function which incrementally computes a moving mean absolute percentage error. The window parameter defines the number of values over which to compute the moving mean absolute percentage error.

    var accumulator = incrmmape( 3 );

    accumulator( [f, a] )

    If provided input values f and a, the accumulator function returns an updated mean absolute percentage error. If not provided input values f and a, the accumulator function returns the current mean absolute percentage error.

    var accumulator = incrmmape( 3 );
    
    var m = accumulator();
    // returns null
    
    // Fill the window...
    m = accumulator( 2.0, 3.0 ); // [(2.0,3.0)]
    // returns ~33.33
    
    m = accumulator( 1.0, 4.0 ); // [(2.0,3.0), (1.0,4.0)]
    // returns ~54.17
    
    m = accumulator( 3.0, 9.0 ); // [(2.0,3.0), (1.0,4.0), (3.0,9.0)]
    // returns ~58.33
    
    // Window begins sliding...
    m = accumulator( 7.0, 3.0 ); // [(1.0,4.0), (3.0,9.0), (7.0,3.0)]
    // returns ~91.67
    
    m = accumulator( 5.0, 3.0 ); // [(3.0,9.0), (7.0,3.0), (5.0,3.0)]
    // returns ~88.89
    
    m = accumulator();
    // returns ~88.89

    Notes

    • Input values are not type checked. If provided NaN or a value which, when used in computations, results in NaN, the accumulated value is NaN for at least W-1 future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function.

    • As W (f,a) pairs are needed to fill the window buffer, the first W-1 returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided values.

    • Warning: the mean absolute percentage error has several shortcomings:

      • The measure is not suitable for intermittent demand patterns (i.e., when a_i is 0).
      • The mean absolute percentage error is not symmetrical, as the measure cannot exceed 100% for forecasts which are too "low" and has no limit for forecasts which are too "high".
      • When used to compare the accuracy of forecast models (e.g., predicting demand), the measure is biased toward forecasts which are too low.

    Examples

    var randu = require( '@stdlib/random-base-randu' );
    var incrmmape = require( '@stdlib/stats-incr-mmape' );
    
    var accumulator;
    var v1;
    var v2;
    var i;
    
    // Initialize an accumulator:
    accumulator = incrmmape( 5 );
    
    // For each simulated datum, update the moving mean absolute percentage error...
    for ( i = 0; i < 100; i++ ) {
        v1 = ( randu()*100.0 ) + 50.0;
        v2 = ( randu()*100.0 ) + 50.0;
        accumulator( v1, v2 );
    }
    console.log( accumulator() );

    Notice

    This package is part of stdlib, a standard library for JavaScript and Node.js, with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.

    For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.

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    License

    See LICENSE.

    Copyright

    Copyright © 2016-2021. The Stdlib Authors.

    Install

    npm i @stdlib/stats-incr-mmape

    Homepage

    stdlib.io

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    5

    Version

    0.0.5

    License

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    53.1 kB

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