On Hoover's scale-free forecast accuracy metric MAD/MEAN

DOI10.1007/S10690-020-09311-7zbMath1468.62427OpenAlexW3039425652MaRDI QIDQ2036890

Peter Ren, Louie Ren

Publication date: 30 June 2021

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-020-09311-7

zbMATH Keywords

coefficient of variationefficient marketi.i.d. time seriesmean absolute deviation (MAD)moving average methodsscale-free forecast accuracy metric

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Uses Software

• Excel

Cites Work

• On a measure of lack of fit in time series models
• MOMENTS OF THE RATIO OF THE MEAN DEVIATION TO THE STANDARD DEVIATION FOR NORMAL SAMPLES

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