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#

AUCalibration([multioutput, multivariate])

Area under the calibration curve for distributional predictions.

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.