Questions tagged [mae]

The Mean Absolute Error (MAE) is a point forecast accuracy measure. In the forecasting literature, Mean Absolute Deviation (MAD) is used interchangeably.

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15
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3answers
37k views

Why use a certain measure of forecast error (e.g. MAD) as opposed to another (e.g. MSE)?

MAD = Mean Absolute Deviation MSE = Mean Squared Error I've seen suggestions from various places that MSE is used despite some undesirable qualities (e.g. http://www.stat.nus.edu.sg/~staxyc/T12.pdf, ...
60
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3answers
52k views

Mean absolute error OR root mean squared error?

Why use Root Mean Squared Error (RMSE) instead of Mean Absolute Error (MAE)?? Hi I've been investigating the error generated in a calculation - I initially calculated the error as a Root Mean ...
20
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2answers
3k views

Why does minimizing the MAE lead to forecasting the median and not the mean?

From the Forecasting: Principles and Practice textbook by Rob J Hyndman and George Athanasopoulos, specifically the section on accuracy measurement: A forecast method that minimizes the MAE will ...
8
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1answer
2k views

Why not using the R squared to measure forecast accuracy?

Why in literature usually the common accuracy measures like MAD, MSE, RMSE, MAPE ... are used. Why not using the $R^2$ (coefficient of determination)? I was thinking about the difference: By using ...
4
votes
1answer
137 views

What is the best point forecast for gamma distributed data?

I believe that the values I am forecasting are gamma distributed with shape $k>0$ and scale $\theta>0$. I need a point forecast (i.e., a one-number summary) that minimizes the expected error. ...
3
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1answer
140 views

What is the best point forecast for lognormally distributed data?

I believe that the values I am forecasting are lognormally distributed with log-mean $\mu$ and log-variance $\sigma^2$. I need a point forecast (i.e., a one-number summary) that minimizes the expected ...
4
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1answer
12k views

Which is the best accuracy measuring criteria among rmse, mae & mape?

I have created training set and test set from my data. Then I performed auto.arima() and ets() in R on the training set to predict one-step ahead forecasts. These were then compared with the test set ...
2
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1answer
973 views

Measuring forecast accuracy

We're forecasting sales data for one of our clients on a weekly basis. Sales is forecasted for each organizational unit. The sales data is forecasted via different algorithms and/or algorithm ...
3
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1answer
906 views

Mean Absolute Error Cost Function in Logistic Regression

Is there any reasons not to use MAE as cost function in logistic regression? Yes, I know about problems with optimization, I know that this estimation won't be max-likelihood estimation. But is there ...
1
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0answers
1k views

Relationship between $R^2$ and MAE in forecasting

I have the following linear model based on multivariate timeseries: ...
1
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1answer
2k views

Can RMSE be smaller than MAE?

Generally speaking, can RMSE be smaller than MAE? I am calculating RMSE and MAE for my results. In two out of five methods, the RMSE is smaller than MAE. Note that I am using the same data, the same ...
1
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1answer
675 views

MAE has gotten worse but RMSE is better, how should I interpret it?

I am doing some testing in recommender systems with extended epinions dataset, I implemented two models, model A give me RMSE of 0.5387 and MAE of 0.3111 and model B gave me RMSE of 0.5121 and MAE of ...