Performance metrics

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

Metrics for assessing model performance.

Forecasting

Point forecasts - 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.

Point forecasts - functions

make_forecasting_scorer(func[, name, ...])	Create a metric class from a metric function.
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.

Quantile and interval forecasts

PinballLoss([multioutput, score_average, alpha])	Pinball loss aka quantile loss for quantile/interval predictions.
EmpiricalCoverage([multioutput, score_average])	Empirical coverage percentage for interval predictions.
ConstraintViolation([multioutput, score_average])	Percentage of interval constraint violations for interval predictions.

Distribution forecasts

CRPS([multioutput, multivariate])	Continuous rank probability score for distributional predictions.
LogLoss([multioutput, multivariate])	Logarithmic loss for distributional predictions.
SquaredDistrLoss([multioutput, multivariate])	Squared loss for distributional predictions.

Time series segmentation

count_error(true_change_points, ...)	Error counting the difference in the number of change points.
hausdorff_error(true_change_points, ...[, ...])	Compute the Hausdorff distance between two sets of change points.
prediction_ratio(true_change_points, ...)	Prediction ratio is the ratio of number of predicted to true change points.