Interesting paper by one of the creators of the measure, Rob Hyndman: https://www.robjhyndman.com/papers/forecast-accuracy.pdf https://www.robjhyndman.com/paper

Interesting paper by one of the creators of the measure, Rob Hyndman: https://www.robjhyndman.com/papers/forecast-accuracy.pdf https://www.robjhyndman.com/papers/forecast-accuracy.pdf Another good note recommending MASE here: https://repub.eur.nl/pub/78815/A-note-on-the-MASE-Revision-for-IJF.pdf https://repub.eur.nl/pub/78815/A-note-on-the-MASE-Revision-f... It's interesting how tricky error calculation can get when dealing with time series. It's one thing to have a model where you can make a train/test split however you'd like, and another when deciding how much training/testing data to include when making a time-dependent forecast.