Time series prediction: R nearly 1 but MSE very high

Hi,

I am trying to predict future outcome of a nonlineare function using NARX.

My Regression R values are all very close to 1. 0.9998 0.9997 0.997 ....

Although my MSE values are very high, they arer about 10364

The average number of the outputs is: 5600

Thanks a lot!

[dpb]

Don't think anybody could say anything at all meaningful w/o seeing the data and model...

Answer 1

[Greg Heath]

The relationship between R and MSE is

 R = sqrt( 1 - MSE/mean(var(target',1)))

Therefore the conclusion is that the mean target variance is much greater than 10364

Hope this helps.

Thank you for formally accepting my answer

Greg