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Hi @compops !
I hope you're well.
I am looking at using the matlab code for a university project, located at -
https://github.com/compops/pmh-tutorial
I am just wondering, my understanding of state space models is that their accuracy can be determined by the mean squared error. However when I run your code, Im not sure how the forecast accuracy is measured. Is it split into test and train sets, then a metric is determined?
What metric is used to measure the forecast accuracy of the state space model?
Many thanks for your help,
Best,
Andrew