Utility Package
UTLSTAT Object
The UTLSTAT object conveniently computes a number of forecast fit statistics for an ad hoc pair of user-specified actual and predicted time series. The computed forecast fit statistics are automatically stored in a table. For each ad hoc pair of actual and predicted time series that is input into a UTLSTAT collector object, a single row of forecast fit statistics is added to the underlying table. Table 7 shows the contents of the UTLSTAT object. For more information about forecast fit statistics, see the section "Statistics of Fit" in Chapter 17, Forecasting Details (SAS Visual Forecasting: Time Series Packages).
Table 7: Contents of the UTLSTAT Object
| Column | Type | Description |
|---|---|---|
| _NAME_ | String | Variable name of actual series |
| _MODEL_ | String | Variable name of predicted series |
| AADJRSQ | Numeric | Amemiya’s adjusted R-square |
| ADJRSQ | Numeric | Adjusted R-square |
| AIC | Numeric | Akaike’s information criterion |
| AICC | Numeric | Finite sample corrected AIC |
| APC | Numeric | Amemiya’s prediction criterion |
| DFE | Numeric | Degrees of freedom error |
| GMAPE | Numeric | Geometric mean absolute percentage error |
| GMAPES | Numeric | Geometric mean absolute error as a percentage of standard deviation |
| GMAPPE | Numeric | Geometric mean absolute predictive percentage error |
| GMRAE | Numeric | Geometric mean relative absolute error |
| GMASPE | Numeric | Geometric mean absolute symmetric percentage error |
| IMASE | Numeric | In-sample mean absolute scaled error |
| MAE | Numeric | Mean absolute error |
| MAPE | Numeric | Mean absolute percentage error |
| MAPES | Numeric | Mean absolute error as a percentage of standard deviation |
| MAPPE | Numeric | Mean absolute predictive percentage error |
| MASE | Numeric | Mean absolute scaled error |
| MAXAPES | Numeric | Maximum absolute error as a percentage of standard deviation |
| MAXERR | Numeric | Maximum error |
| MAXPE | Numeric | Maximum percentage error |
| MAXPPE | Numeric | Maximum predictive percentage error |
| MAXRE | Numeric | Maximum relative error |
| MAXSPE | Numeric | Maximum symmetric percentage error |
| MDAPE | Numeric | Median absolute percentage error |
| MDAPES | Numeric | Median absolute error as a percentage of standard deviation |
| MDAPPE | Numeric | Median absolute predictive percentage error |
| MDASPE | Numeric | Median absolute symmetric percentage error |
| MDRAE | Numeric | Median relative absolute error |
| ME | Numeric | Mean error |
| MINAPES | Numeric | Minimum absolute error as a percentage of standard deviation |
| MINERR | Numeric | Minimum error |
| MINPE | Numeric | Minimum percentage error |
| MINPPE | Numeric | Minimum predictive percentage error |
| MINRE | Numeric | Minimum relative error |
| MINSPE | Numeric | Minimum symmetric percentage error |
| MPE | Numeric | Mean percentage error |
| MPPE | Numeric | Mean predictive percentage error |
| MRAE | Numeric | Mean relative absolute error |
| MRE | Numeric | Mean relative error |
| MSE | Numeric | Mean square error |
| MSPE | Numeric | Mean symmetric percentage error |
| N | Numeric | Number of observations that were used. This is the number of observations in the block of observations from the first to the last nonmissing error, which includes any embedded missing errors. |
| NMISSA | Numeric | Number of missing actual values |
| NMISSP | Numeric | Number of missing predicted values |
| NOBS | Numeric | Number of observations |
| NPARMS | Numeric | Number of parameters |
| RMSE | Numeric | Root mean square error |
| RMSSE | Numeric | Root mean square scaled error |
| RSQUARE | Numeric | R-square |
| RWRSQ | Numeric | Random walk R-square |
| SBC | Numeric | Schwarz Bayesian information criterion |
| SMAPE | Numeric | Symmetric mean absolute percentage error |
| SSE | Numeric | Sum of square error |
| SST | Numeric | Corrected total sum of squares |
| TSS | Numeric | Total sum of squares |
| UMSE | Numeric | Unbiased mean square error |
| URMSE | Numeric | Unbiased root mean square error |
Table 8 summarizes the methods that are associated with the UTLSTAT object.
Table 8: Methods of the UTLSTAT Object