Use MASE by default for PyAF Model Selection

[antoinecarme]

When the signal contains zeros, the MAPE values are not defined. MAPE is simply not suitable for such signals ans this can lead to low quality models.

https://stackoverflow.com/questions/41571215/forecasr-accuracy-mape-and-zero-values

https://otexts.com/fpp3/accuracy.html

There is no technical work-around for better using MAPE.

MAPE is not suitable for reporting performance measure values when zeros in the signal, but it is very user-friendly and easy to understand..

The only solution is to use a scaled measure like MASE for model selection by default.

Some benchmarking is needed (#222 ).

It would be nice to have this in PyAF 5.0 (expected on 2023-07-14). So far, so good. DONE.

[antoinecarme]

https://otexts.com/fpp3/accuracy.html

https://www.sciencedirect.com/science/article/abs/pii/S0169207006000239?via%3Dihub

Another look at measures of forecast accuracy Author: Rob J. Hyndman, Anne B. Koehler Publication: International Journal of Forecasting Publisher: Elsevier Date: October–December 2006

[antoinecarme]

Also add the same scaling for RMSE, the RMSSE as a new performance measure :

https://otexts.com/fpp3/accuracy.html

[antoinecarme]

Origin : user model on google colab (#PyAF hashtag rocks ;).

https://colab.research.google.com/drive/1zaVQuobR8M63qB-UDDX8ZX37ctl98YIT?usp=sharing

[antoinecarme]

Original Model (MAPE)

[antoinecarme]

Same Model with MASE

[antoinecarme]

Same Model with RMSE (L2)

[antoinecarme]

Same Model with RMSSE (scaled RMSE)

[antoinecarme]

The prediction intervals plots now gives the values of MAPE and MASE for horizon 1 and horizon H by default.

[antoinecarme]

CLOSING. Added to 5.0