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Add log error metrics (MALE and MSLE) #2621
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I'd be happy to write a PR for it. Here are a few questions / thoughts I have about implementation:
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Hi Christopher,
I think I would start implementing the metrics in |
Description
@lostella suggested you might be interested in having the mean absolute log error (MALE) and mean square log error (MSLE) error metrics in GluonTS.
Here's a quick summary of the MALE and MSLE:
I wrote a longer (~10min) article making the case for these metrics here.
References
[1] https://towardsdatascience.com/mean-absolute-log-error-male-a-better-relative-performance-metric-a8fd17bc5f75
[2] Tofallis, Chris, A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation (July 2014). Journal of the Operational Research Society (2015) 66, 1352–1362, Available at SSRN: https://ssrn.com/abstract=2635088
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