# Measuring forecasting risk of linear regression

I want to measure how much risk I take by forecasting something. I know I can measure the error and things like MAD, MSE, RMSE, etc. and I can set up prediction intervals but I'd like to describe a little more about the 'amount' of risk I take, like, how big will my errors be and how often will they occur. Are there measurements for this which I can compare with a acceptable 'amount' that I defined beforehand?

I have a linear regression model.

• It's a bit unclear what you are looking for. Do loss functions (see here and here) and their expectations cover what you have in mind? May 11, 2016 at 8:58