ferrors.m

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach" by Rafa&#322 Weron, p

function [MDE,MWE,DRMSE,WRMSE,MeDE,MeWE]=ferrors(w)
%FERRORS Compute price forecast errors.
%   [MDE,MWE,DRMSE,WRMSE,MeDE,MeWE]=FERRORS(W) returns the Mean Daily Error 
%   (MDE), Mean Weekly Error (MWE), Daily Root Mean Square Error (DRMSE),
%   Weekly Root Mean Square Error (WRMSE), Median Daily Error (MeDE) and 
%   Median Weekly Error (MeWE) of a 2-column array: W=[price forecast], see
%   [1], Section 4.3.3.
%
%   Reference(s):
%   [1] R.Weron (2007) "Modeling and Forecasting Electricity Loads and 
%   Prices: A Statistical Approach", Wiley, Chichester.   

%   Written by Rafal Weron (2006.06.06)
%   Copyright (c) 2006 by Rafal Weron

MDE = NaN;
MWE = NaN;
DRMSE = NaN;
WRMSE = NaN;
MeDE = NaN;
MeWE = NaN;

if mod(size(w,1),24)==0
    
    rw24 = reshape(abs(w(:,1)-w(:,2)),24,length(w)/24); % numerator
    rpr24 = reshape(w(:,1),24,length(w)/24);
    
    MDE = mean(rw24)./mean(rpr24);
    MeDE = mean(rw24)./median(rpr24);
    
    rp24 = reshape(w(:,2),24,length(w)/24); % numerator
    DRMSE = sqrt(sum((rp24-rpr24).^2)/24);
    
end;

if mod(size(w,1),168)==0
    
    rw168 = reshape(abs(w(:,1)-w(:,2)),168,length(w)/168); % numerator
    rpr168 = reshape(w(:,1),168,length(w)/168);
    
    MWE = mean(rw168)./mean(rpr168);
    MeWE = mean(rw168)./median(rpr168);
    
    rp168 = reshape(w(:,2),168,length(w)/168); % numerator
    WRMSE = sqrt(sum((rp168-rpr168).^2)/168);
    
end;