Theil’s U statistic is a relative accuracy measure that compares the forecasted results with a naive forecast. It also squares the deviations to give more weight to large errors and to exaggerate errors, which can help eliminate methods with large errors. For the formula, see the Oracle Crystal Ball Statistical Guide.
Table 3. Interpreting Theil’s U
Theil’s U statistic
Less than 1
The forecasting technique is better than guessing.
The forecasting technique is about as good as guessing.