Miscalculated residuals in plot_residuals()

JoaquinAmatRodrigo / skforecast

Time series forecasting with machine learning models

https://skforecast.org

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Closed schoulten closed 2 weeks ago

schoulten commented 3 weeks ago

The source code in plot_residuals() calculate the residuals as follows:

But according to Rob Hyndman's book (FPP3), the correct calculation should be:

$$e{T+h} = y{T+h} - \hat{y}_{T+h|T}$$

Where $y{T+h}$ are the "Ground truth (correct) values" and $\hat{y}{T+h|T}$ are the "Values of predictions"

So, the above code should change to:

residuals = y_true - y_pred

JoaquinAmatRodrigo commented 3 weeks ago

You are right, thanks for reporting!

JoaquinAmatRodrigo commented 2 weeks ago