Table 4 In-sample and out-of-sample prediction errors, σx = 5 and σy= 20
From: Step away from stepwise
Candidates | No drift | Drift | ||||||
|---|---|---|---|---|---|---|---|---|
MAE | RMSE | MAE | RMSE | |||||
In | Out | In | Out | In | Out | In | Out | |
10 | 15.45 | 16.87 | 19.32 | 21.09 | 15.40 | 24.51 | 19.25 | 29.81 |
50 | 14.42 | 18.07 | 18.03 | 22.60 | 14.91 | 43.99 | 18.65 | 52.11 |
100 | 12.82 | 19.92 | 16.03 | 24.90 | 14.55 | 61.09 | 18.18 | 71.85 |
200 | 7.76 | 22.27 | 9.69 | 31.60 | 13.90 | 83.38 | 17.38 | 97.69 |
250 | 3.53 | 29.08 | 4.43 | 36.35 | 13.57 | 91.71 | 16.90 | 107.35 |
500 | 0.00 | 29.89 | 0.00 | 37.38 | 11.46 | 127.26 | 14.31 | 148.16 |
1000 | 0.00 | 31.12 | 0.00 | 38.28 | 6.04 | 182.83 | 7.57 | 212.64 |