@theil |

Theil inequality coefficient (difference) between series.

Computes the Theil inequality coefficient of x and y.

Syntax: @theil(x, y, [s])

x: series

y: series

s: (optional) sample string or object

Return: number

The Theil inequality coefficient is given by the root mean square error divided by the sum of the square roots of the squared x and squared y means).

Examples

Let yf denote in-sample forecasts for the series y. Then

= @theil(yf, y)

returns the Theil inequality coefficient between the series y and its forecast.

Cross-references

See also
@rmse.