When we compute a MASE or RMSSE using a rolling origin, should the scaling factor be recalculated every time?
I’ve been asked this a couple of times, so perhaps it is worth a blog post.
For a simple training/test split, the Mean Absolute Scaled Error (MASE) (Hyndman & Koehler, 2006) is defined as <img src=“https://latex.codecogs.com/png.latex?%0A%5Ctext%7BMASE%7D%20=%20%5Cfrac%7B%5Cfrac%7B1%7D%7BH%7D%5Csum_%7Bt=T+1%7D%5E%7BT+H%7D%20%7Cy_t%20-%20%5Chat%7By%7D_%7Bt%7CT%7D%7C%7D%7B%5C …