R^2 指标可以用于滚动预测吗？

发布于 2025-01-15 04:04:22 字数 767 浏览 6 评论 0原文

我预测了一些定价数据，并使用一些标准指标（MSE、MAE、R^2）对其进行了评估。预测是使用 fbprophet 和滚动 ARIMA 预测完成的。预测图表如下所示：

我们可以看到，滚动 ARIMA 很好地遵循了测试数据（也许太好了？过度拟合？），而先知的预测则略有偏差。

然而，当我计算这两个预测的指标时，我得到了这些值：

ARIMA Rolling RMSE:  2.7175816638468993
ARIMA Rolling MSE:  7.385250099676881
ARIMA Rolling MAE:  1.4263079222919917
ARIMA Rolling R2 Score:  0.6559313910482427


Prophet RMSE:  3.349429559727403
Prophet MSE:  11.218678375575704
Prophet MAE:  2.238762881014073
Prophet R2 Score:  0.6490628017042303

Prophet 的 R2 分数感觉上似乎是合理的，可能有点低。然而，滚动 ARIMA 预测 R2 分数仅比我预期的 +90% 高出 0.5%，因为它很好地遵循了测试数据。

这背后有解释吗？

预先非常感谢您的回答。

原文

I forecasted some pricing data and evaluated it using a few of the standard metrics (MSE,MAE,R^2). The forecasting was done using fbprophet and a rolling ARIMA forecast. The graph of the forecast is shown here:

We can see that the rolling ARIMA follows the test data really well (maybe too well? Overfitting?) whereas prophet's forecasts are slightly off.

However, when I calculated the metrics for both these forecasts I get these values:

ARIMA Rolling RMSE:  2.7175816638468993
ARIMA Rolling MSE:  7.385250099676881
ARIMA Rolling MAE:  1.4263079222919917
ARIMA Rolling R2 Score:  0.6559313910482427


Prophet RMSE:  3.349429559727403
Prophet MSE:  11.218678375575704
Prophet MAE:  2.238762881014073
Prophet R2 Score:  0.6490628017042303

Prophet's R2 score seems reasonable it feels, possibly a little low. However the rolling ARIMA forecasts R2 score is only 0.5% higher when I would have expected it to be +90% since it follows the test data so well.

Is there an explanation behind this?

Thanks very much in advance for your answers.

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