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Im building two models, (model1 and model2) I trained and tested them on the same test dataset, model1 will have mean absolute error (MAE) 10.3, rooted mean squared error (rMSE) 30.1 model2 will have mean absolute error (MAE) 11.8, rooted mean squared error (rMSE) 29.5

Can any one help me to explain why one model is better in MAE while the other is better in rMSE? whats going on my data or models? Thanks!

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marked as duplicate by AdamO, kjetil b halvorsen, Peter Flom Nov 20 '17 at 11:48

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    $\begingroup$ They are different functions, and are not monotonic transforms of each other (unless your sample size is 1.) You should not expect them to preserve order across data sets or across models, although in my experience it is somewhat more common that they do than that they don't. $\endgroup$ – jbowman Feb 4 '17 at 1:43
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If you trained your models using MSE then you should choose the one with the smallest MSE in your testing set.

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