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.

 


 

 

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