Thiel inequality coefficient

Thiel inequality coefficient

See also: Time series introduction, VoseThielU

Thiel's inequality coefficient, also known as Thiel's U, provides a measure of how well a time series of estimated values compares to a corresponding time series of observed values. The statistic measures the degree to which one time series ({Xi}, i = 1,2,3, ...n) differs from another ({Yi}, i = 1, 2, 3, ...n). Thiel's U is calculated as:

Thiel's inequality coefficient is useful for comparing different forecast methods: for example, whether a fancy forecast is in fact any better than a naïve forecast repeating the last observed value. The closer the value of U is to zero, the better the forecast method. A value of 1 means the forecast is no better than a naïve guess.

Use the function VoseThielU to calculate Thiel's inequality coefficient for a set of data.





Monte Carlo simulation in Excel. Learn more

Spreadsheet risk analysis modeling


Adding risk and uncertainty to your project schedule. Learn more

Project risk analysis


Enterprise Risk Management software (ERM)

Learn more about our enterprise risk analysis management software tool, Pelican

Enterprise risk management software introduction


For Microsoft Excel

Download your free copy of ModelRisk Basic today. Professional quality risk modeling software and no catches

Download ModelRisk Basic now


For Primavera & Microsoft Project

Download your free copy of Tamara Basic today. Professional quality project risk software and no catches.

Download Tamara Basic now