GeometricMeanSquaredError

class GeometricMeanSquaredError(multioutput='uniform_average', multilevel='uniform_average', square_root=False, by_index=False)[source]

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

If square_root is False then calculates GMSE and if square_root is True then RGMSE is calculated. Both GMSE and RGMSE return non-negative floating point. The best value is approximately zero, rather than zero.

Like MSE and MdSE, GMSE is measured in squared units of the input data. RMdSE is on the same scale as the input data like RMSE and RdMSE. Because GMSE and RGMSE square the forecast error rather than taking the absolute value, they penalize large errors more than GMAE.

Parameters:

multioutput‘uniform_average’ (default), 1D array-like, or ‘raw_values’

Whether and how to aggregate metric for multivariate (multioutput) data.

If 'uniform_average' (default), errors of all outputs are averaged with uniform weight.
If 1D array-like, errors are averaged across variables, with values used as averaging weights (same order).
If 'raw_values', does not average across variables (outputs), per-variable errors are returned.

multilevel{‘raw_values’, ‘uniform_average’, ‘uniform_average_time’}

How to aggregate the metric for hierarchical data (with levels).

If 'uniform_average' (default), errors are mean-averaged across levels.
If 'uniform_average_time', metric is applied to all data, ignoring level index.
If 'raw_values', does not average errors across levels, hierarchy is retained.

square_rootbool, default=False

Whether to take the square root of the mean squared error. If True, returns root geometric mean squared error (RGMSE) If False, returns geometric mean squared error (GMSE)

by_indexbool, default=False

Controls averaging over time points in direct call to metric object.

If False (default), direct call to the metric object averages over time points, equivalent to a call of the evaluate method.
If True, direct call to the metric object evaluates the metric at each time point, equivalent to a call of the evaluate_by_index method.

Notes

The geometric mean uses the product of values in its calculation. The presence of a zero value will result in the result being zero, even if all the other values of large. To partially account for this in the case where elements of y_true and y_pred are equal (zero error), the resulting zero error values are replaced in the calculation with a small value. This results in the smallest value the metric can take (when y_true equals y_pred) being close to but not exactly zero.

References

Hyndman, R. J and Koehler, A. B. (2006). “Another look at measures of forecast accuracy”, International Journal of Forecasting, Volume 22, Issue 4.

Examples

>>> import numpy as np
>>> from sktime.performance_metrics.forecasting import GeometricMeanSquaredError
>>> y_true = np.array([3, -0.5, 2, 7, 2])
>>> y_pred = np.array([2.5, 0.0, 2, 8, 1.25])
>>> gmse = GeometricMeanSquaredError()
>>> gmse(y_true, y_pred)
np.float64(2.80399089461488e-07)
>>> rgmse = GeometricMeanSquaredError(square_root=True)
>>> rgmse(y_true, y_pred)
np.float64(0.000529527232030127)
>>> y_true = np.array([[0.5, 1], [-1, 1], [7, -6]])
>>> y_pred = np.array([[0, 2], [-1, 2], [8, -5]])
>>> gmse = GeometricMeanSquaredError()
>>> gmse(y_true, y_pred)
np.float64(0.5000000000115499)
>>> rgmse = GeometricMeanSquaredError(square_root=True)
>>> rgmse(y_true, y_pred)
np.float64(0.5000024031086919)
>>> gmse = GeometricMeanSquaredError(multioutput='raw_values')
>>> gmse(y_true, y_pred)
array([2.30997255e-11, 1.00000000e+00])
>>> rgmse = GeometricMeanSquaredError(multioutput='raw_values', square_root=True)
>>> rgmse(y_true, y_pred)
array([4.80621738e-06, 1.00000000e+00])
>>> gmse = GeometricMeanSquaredError(multioutput=[0.3, 0.7])
>>> gmse(y_true, y_pred)
np.float64(0.7000000000069299)
>>> rgmse = GeometricMeanSquaredError(multioutput=[0.3, 0.7], square_root=True)
>>> rgmse(y_true, y_pred)
np.float64(0.7000014418652152)

Methods

__call__(y_true, y_pred, **kwargs)

Calculate metric value using underlying metric function.

__call__(y_true, y_pred, **kwargs)[source]

Calculate metric value using underlying metric function.

Parameters:

y_truetime series in sktime compatible data container format.

Ground truth (correct) target values.

Individual data formats in sktime are so-called mtype specifications, each mtype implements an abstract scitype.

Series scitype = individual time series, vanilla forecasting. pd.DataFrame, pd.Series, or np.ndarray (1D or 2D)
Panel scitype = collection of time series, global/panel forecasting. pd.DataFrame with 2-level row MultiIndex (instance, time), 3D np.ndarray (instance, variable, time), list of Series typed pd.DataFrame
Hierarchical scitype = hierarchical collection, for hierarchical forecasting. pd.DataFrame with 3 or more level row MultiIndex (hierarchy_1, ..., hierarchy_n, time)

For further details on data format, see glossary on mtype. For usage, see forecasting tutorial examples/01_forecasting.ipynb

y_predtime series in sktime compatible data container format

Predicted values to evaluate against ground truth. Must be of same format as y_true, same indices and columns if indexed.

y_pred_benchmarkoptional, time series in sktime compatible data container format

Benchmark predictions to compare y_pred to, used for relative metrics. Required only if metric requires benchmark predictions, as indicated by tag requires-y-pred-benchmark. Otherwise, can be passed to ensure interface consistency, but is ignored. Must be of same format as y_true, same indices and columns if indexed.

y_trainoptional, time series in sktime compatible data container format

Training data used to normalize the error metric. Required only if metric requires training data, as indicated by tag requires-y-train. Otherwise, can be passed to ensure interface consistency, but is ignored. Must be of same format as y_true, same columns if indexed, but not necessarily same indices.

sample_weightoptional, 1D array-like, or callable, default=None

Sample weights for each time point.

If None, the time indices are considered equally weighted.
If an array, must be 1D. If y_true and y_pred``are a single time series, ``sample_weight must be of the same length as y_true. If the time series are panel or hierarchical, the length of all individual time series must be the same, and equal to the length of sample_weight, for all instances of time series passed.
If a callable, it must follow SampleWeightGenerator interface, or have one of the following signatures: y_true: pd.DataFrame -> 1D array-like, or y_true: pd.DataFrame x y_pred: pd.DataFrame -> 1D array-like.

Returns:

lossfloat, np.ndarray, or pd.DataFrame

Calculated metric, averaged or by variable. Weighted by sample_weight if provided.

float if multioutput="uniform_average" or array-like, and ``multilevel="uniform_average" or “uniform_average_time”``. Value is metric averaged over variables and levels (see class docstring)
np.ndarray of shape (y_true.columns,) if multioutput=”raw_values”` and multilevel="uniform_average" or "uniform_average_time". i-th entry is the, metric calculated for i-th variable
pd.DataFrame if multilevel="raw_values". of shape (n_levels, ), if multioutput="uniform_average"; of shape (n_levels, y_true.columns) if multioutput="raw_values". metric is applied per level, row averaging (yes/no) as in multioutput.