# Question about mean square error on train set and test set

I got two generalized linear model M1 and M2. I split my data into train (50%) and test (50%) and I compute the MSE on each set. I got :

On train set, MSE(model M1) > MSE(model M2)

On test set, MSE(model M1) < MSE(model M2)

How can I choose the best model ?

• Did you tried to shuffle observations in training/test set and measure performance again?
– Slam
Jun 22, 2017 at 13:10
• Yes but I got the same result. Which model should I choose ? Jun 22, 2017 at 13:17
• Imagine you're teaching a subject and you have two students, Student A and Student B. You have two exams, Exam 1 and Exam 2. Exam 1 is an old exam that has both its questions and answers posted online, while Exam 2 has no such information available. You know that both students A and B consulted that posted exam to study. The next day you make them do Exam 1. The day after, you make them do Exam 2. Student A does better than Student B on Exam 1. Student B does better than Student A on Exam 2. From this information, which of the students do you think better understands the material? Jun 22, 2017 at 13:30
• @Bridgeburners Awesome explanation, I understand know Jun 22, 2017 at 15:21