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I have a 70K x 30 dataset and I want to build a regression model on it. Right now, I am running a bunch of algorithms via Weka tool with cross-validation and I compare the RMSE values reported by Weka in order to decide which model works better.

However, after I experiment with Multi layer perceptron, Linear Regression and a bunch of tree-related algorithms, the best performance I got was K-NN algorithm. Since this algorithm is very naive and instance based, I am not sure if just comparing RMSE is the right way.

When experimenting a Regression model, what kind of process should I follow?

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As long as you repeat 10-fold cross-validation many times to achieve adequate precision, RMSE is a good measure for comparison, as is mean absolute error and median absolute error, the latter two being more robust.

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  • $\begingroup$ Weka tool also reports mean/median absolute error, so I can compare them. I see correlation coefficient value reported as well. Does it play a role on comparing two regression models? $\endgroup$ – Weka Jun 12 '13 at 4:24
  • $\begingroup$ $R^2$ is another excellent measure, but if calculated the usual way allows for a linear recalibration of the predictions so does not penalize for predictions being off by a constant or a constant multiple. $\endgroup$ – Frank Harrell Jun 12 '13 at 12:41

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