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 providing a public answer here.
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%7Bn%7D%5Csum_%7Bt%7D%20%7Cy_t%20-%20%5Chat%7By%7D_t%7C%7D%7B%5Cfrac1T%5Csum_%7Bt=1%7D%5ET%20%7Cy_t%20-%2 …