Horizon-Wide MAPE
Error made of a time series forecasting predictive model.
How to interpret the indicator?
The Horizon-Wide MAPE is the evaluation of the "error" made when using
the predictive model to estimate the future values of the signal, whatever the
horizon. For each actual observed value, the predictive model calculates as many
forecasted values as requested by the analyst. This is called the horizon of
forecasts. Each of those forecasted values is compared to the corresponding actual
ones. Then, for each possible horizon, a per-horizon MAPE can be calculated, which
is the mean of the absolute differences between actual and forecasted values,
expressed as a percentage of actual values. The Horizon-Wide
MAPE is the mean of all per-horizon MAPE values that have been
calculated..
Example
A Horizon-Wide MAPE of 12%
indicates that the error made when using a forecasted value will be of more or
less 12%. A Horizon-Wide MAPE of zero indicates a perfect predictive model.
The absolute value of the differences is taken into account to evaluate the average error.