I have two model prediction results:
- Using ARIMA model
How do we compare these two? Is conventional time series modelling better or, are machine learning methods better?
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You can validate the model and compare one model with other by calculating accuracy metrics such as - R-squared, root mean squared error, residual standard error, mean absolute error, Adjusted R-squared, AIC, AICc, BIC.
Currently, the most popular metrics for evaluating time series forecasting models are MAE, RMSE and AIC