scripts/builtin/msmape.dml

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# Returns the modified symmetric means absolute percentage error between the two inputs
#
#
# Monash Time Series Forecasting Archive
# Rakshitha Godahewaa,∗, Christoph Bergmeira , Geoffrey I. Webba , Rob J. Hyndmanb ,
# Pablo Montero-Mansoc
#
# INPUT:
# --------------------------------------------------------------------------------
# X      First Matrix to compare
# Y      Second Matrix to compare
# --------------------------------------------------------------------------------
#
# OUTPUT:
# -----------------------------------------------------------------------------------------------
# Z      The modified symmetric mean absolute percentage error
# -----------------------------------------------------------------------------------------------

m_msmape = function(Matrix[Double] X, Matrix[Double] Y, Matrix[Double] P = matrix(0, rows=0, cols=0), 
  Double eps = 1e-10) return (Matrix[Double] Z, Matrix[Double] Q) {
  top = abs(X - Y) 
  denom_1 = abs(X) + abs(Y) + eps
  denom_2 = 0.5 + eps
  denom = max(denom_1, denom_2) / 2
  MSAPE = top / denom
  Z = as.matrix(mean(MSAPE)) 
  Q = flattenQuantile(MSAPE, P)
}