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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25 views

What is mean average error?

I saw that in some articles but I couldn't find any definition. Its unit is in the following form: MAE/mean(MAE)
26 views

huge difference between RMSE and MAE in non-linear regressors

I am building non-linear regression models such as a Random Forest regressor , a KNN regressor or a SVM using a RBF kernel and I decided to use both RMSE and MAE as evaluation metrics. I know that a ...
18 views

Mean average error normalized by the standard deviation of the target

I'm working on a regression model, aiming at prediction age from structured data. I'm using the mean average error (MAE) as evaluation metric, and want to compare my performances with state-of-the-art ...
64 views

MAE regression gives biased regression parameters for symmetric error?

Consider a linear model, $$y_i = \beta_0 + \beta_1x_{1i} + \beta_2x_{2i} + \epsilon_i.$$ From the Gauss-Markov theorem, I know that, under nice conditions, the $\hat{\beta}_{OLS}=(X^TX)^{-1}X^Ty$ ...
16 views

How should i compare this MAE results

I'm in need of help to correctly interpret these results. I am analyzing a time series of crime data. The series has 351,980 events. These are the results of the predictions using a regression model:...
154 views

How do I interpret mean absolute error (MAE) or mean absolute percentage error (MAPE) in layman words?

For example, I am predicting a score that can have value from 0 to 100. Lets assume MAPE = 10...
36 views

Scaling the MAE by the mean of non zero points for intermittent data

I am currently trying to find a way of scaling the MAE for my intermittent data. The data is always greater than 0 and is intermittent, with long periods of zeros. I have read a few papers that ...
45 views

What does it mean when MAE improved while RMSE worsened?

I am comparing two models: One is a black box that I cannot understand, the other is a GLM. How can I describe why the differences are like this? Is the GLM performing worse than the blackbox?
127 views

Quantile loss 50th is MAE, is it? [duplicate]

I'm not sure the above sentence is true, but I read it here, here and here that quantile loss function percentile 0.5 is MAE(mean absolute error), Is it true(Yes or No)? and How?
20 views

RMSE vs. MAE for comparing HR between two measuring instruments

I am comparing a cheap measuring instrument to an expensive highly accurate measuring instrument. Both instruments measure heart rate in BPM. The cheap device is vulnerable to noise. I need to report ...
115 views

Comparison of MAE and Mean to illustrate the error magnitude

I have predicted a time series with positive, zero and negative values. As error measurement I used the Mean Absolute Error (MAE). In order to give the reader of my paper a better understanding ...
19 views

Learning Curves using different models

I am running repeated K-fold Cross-Validation on my dataset using different models. My problem is a regression problem and I am counting on the error metric MAE. I do know that some models may behave ...
2k views

Can someone give the intuition behind Mean Absolute Error and the Median? [duplicate]

I do not understand the intuition behind why the median is the best estimate if we are going to judge prediction accuracy using the Mean Absolute Error. Let's say you have a random variable $X$ and ...
148 views

Dividing the MAE by the average of the values

I would like to parse the MAE (Mean Absolute Error) to a percentage value. I know there is the MAPE (Mean Absolute Percentage Error), however it has some drawbacks as going to infinity if one of my ...
1k views

Can RMSE and MAE have the same value?

I am implementing cross validation and calculating error metrics such as RMSE, $R^2$, MAE, MSE, etc. Can RMSE and MAE have the same value?
154 views

RSME, MAE and prediction interval [closed]

Could someone please clarify, whether it is appropriate to define a prediction interval or an equivalent for an RMSE and MAE measure. If so, could you please suggest how such an interval is defined.
140 views

MSE Intuition and Interpretation

I've got a very small question. Say I'm making a linear regression model. When I test the model with a testing set, I get an MSE of 4.31 (arbitrary). What do I interpret from this? As in, what does ...
70 views

Error distribution for Huber Regression

For linear regression there's an assumption that error terms come from normal distribution. so that $Y = aX + b + \epsilon$, where $\epsilon$ has normal distribution with mean zero and certain ...
92 views

a measure for MAE (of a regression)

I'm running a grid search, in order to fine-tune a NN hyper parameters. the question is: the MAE values I get from the trainings are too close. since I have the statistical attributes of the target ...
555 views

Standardised mean absolute error (SMAE) and how to calculate it?

I am using the mean absolute error mean(abs(obs - pred)) as one of the measures assessing the fit of my model. I would also like to have a standardised measure ...
235 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. ...
248 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 ...
884 views

calculating overall error in k-fold cross validation

when using k-fold cross validation i thought the overall error was equal to the mean of errors of each fold. the error being anything from MAE and RMSE to NDCG,F-measure, precision and recall. however ...
971 views

Mean Absolute Error in Random Forest Regression

I am new to the whole ML scene and am trying to resolve the Allstate Kaggle challenge to get a better feeling for the Random Forest Regression technique. The challenge is evaluated based on the MAE ...
37 views

What statistical test do I need for comparing forecasted data with actual data?

Iām currently completing my dissertation and need to compare forecasted wave height to the actual wave height. However I am unsure what statistical test to use. Thanks, Jess
749 views

Does normalisation affect the values of Mean Squared Error, Mean Absolute Percentage Error etc.?

I have a large amount of data, divided into folders and files. Each file has 56 features/columns and around 10,000 rows. The data is normalised (values between -1 and 1) and some of the features have ...
4k 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 ...
312 views

MSE or MAE absolute and relative performance

I'm comparing different ARMA-GARCH specification out-of-sample in order to understand whether the more "parsimonious" models prescribed by BIC do not perform more poorly than the more "expensive" ones ...
789 views

MAE and Precision for Collaborative Filtering Recommender Systems

I have got a question concerning Recommender Systems and Evaluation Metrics. I tested a few collaborative filtering recommendation algorithms on dataset containing amazon ratings. Here you can see MAE ...
7k views

Mean Absolute Error (MAE) derivative

$MAE=|y_{pred} - y_{true}|$ $\dfrac{dMAE}{dy_{pred}} = ?$ I'm trying to understand how MAE works as a loss function in neural networks using backpropogation. I know it can be used directly in some ...
114 views

improve performance in a regression methodology

I'm performing my own nonparametric regression in matlab and I'm wondering to switch one nuance of my methodology: Methodology: split Training/test set (i.e. 80/20 %) search the best gamma ...
99 views

Why does the MAE of my estimation improve substantially when I divide it by 10 (in a very noisy dataset)?

I have an extremely noisy dataset, and I try to minimize the MAE. Apparently, when my linear regression makes its prediction - it has something like -1000 MAE (when compared to the MAE of an all-zero ...
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 ...
148 views

Is there an analog for the coefficient of determination with absolute error?

Typically to measure the predictive power of a model, R^2 is more useful than RMSE because a RMSE score isn't very meaningful without a basis of comparison. If you are using mean absolute error (MAE) ...
803 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 ...
5k views

L1 (MAE) vs L2 (MSE) when data is normalized between 0 and 1

In most of the literature, it is emphasized that the L2 norm (MSE) gives a higher error when dealing with outliers compared to the L1 norm (MAE). But what happens when we normalize the data between 0 ...
1k views

Can MAPE Decrease while StdDev Increases?

Can a decrease in mean absolute percentage error (MAPE) be correlated with an increase in standard deviation of the error? Is that counter-intuitive? What about MAPE vs. mean absolute error (MAE)? I'm ...
1k 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 ...
304 views

Best imputation techniques (error test)

actually my study is about to choose best imputation techniques. Im comparing all the techniques using Root Mean Square Error (RMSE), Mean Aabsolute Error (MAE) and correlation (R). My problem is ...
1k views

What is the point of Root Mean Absolute Error, RMAE, when evaluating forecasting errors?

RMAE is defined as the square root of the Mean Absolute Error (MAE). Presumably this is by analogy to Root Mean Square Error (RMSE) being defined as the square root of Mean Square Error (MSE). But ...
52 views

Error measure that take the time of prediction into account?

I am doing a machine learning project where I'm attempting to predict the arrival times of buses equipped with GPS at bus stops, and I am very new to statistics/data analysis. I am looking for an ...
1k views

how to pick model, MAE or rMSE [duplicate]

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 ...
419 views

Relatively low MAE, but also low R-squared? Why

I am testing forecasts against against realized values with a number of observations of 4000. When I calculate the mean MAE, its relatively low. Around 10% deviation to the original variable. ...
981 views

Using GARCH rolling forecast in R to calculate MAE?

My intention is to calculate the MAE for different (G)ARCH-models (comparing the one-step-ahead forecast for $\sigma$ with the absolute return that day). The formula for MAE is actually clear, but I'...
571 views

Large-scale MAE regression in R

I have a large, sparse dgCMatrix matrix in R: ~200,000 rows ~150,000 columns ~1,000,000,000 non-zero entries R code to generate the matrix: ...
323 views

How to check if specific MAE and MSE are feasible given only the real data?

I have as data some real measures, let's say: 1000, 800, 900, 1100, 900 and I have the Mean Absolute Error (MAE) and Mean Squared Error (MSE) 80 and 20000, but I don't know which are the estimated ...
235 views

mape and mae from k-fold backtesting on time series

I performed a rolling window (i.e. do full sample, then next 4 observations until the last, and so on...) k-fold test for out of sample testing due to limited number of observations. From the MAPE ...
451 views

Is it possible to compute RMSE iteratively?

I am working on continuous evaluation of a regression model on streaming data from sensors. I think that Mean Absolute Error (MAE) can be found out iteratively similar to this link for averaging.  ...
I have trained two regression models on the same dataset. They perform with comparable mean absolut errors $MAE_{1,2} \approx 0.45$, but the coefficient of determination differs significantly with \$R^...