# Questions tagged [mse]

MSE stands for Mean Squared Error. It is a measure of the performance of an estimate or prediction, equal to the mean squared difference between the observed values and the estimated / predicted values.

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### Does increasing number of observations lead to the decreasing of Mean Square Error of consistent estimators?

I know that not all weakly consistent estimators exhibit MSE-consistency : https://stats.stackexchange.com/a/610835/397467. Anyway, does increasing the sample size leads to a reduction in their mean ...
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### Mean squared error (MSE) vs Least squares error (LSE)

From my understanding the only difference between MSE and LSE is that with MSE you divide the sum of squared errors by the total number of values to get an average rather than just using the sum. This ...
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### Can someone help me understand why the MAE, MSE and RMSE scores for my regression model are very low but the R2 is negative?

I am using a random forest regression model to make predictions and leave one out cross validation for my prediction task. I am having a difficult time understanding why my R2 score is negative when ...
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### Help needed for interpretation of mtry and MSE calculation for bagging and random forests

I have a question regarding the mtry values for the two models Bagging and Random Forests. I applied the mtry measure for the California Housing Dataset and then for another dataset about white wine. ...
733 views

### Best estimator of the mean of a normal distribution based only on box-plot statistics

Suppose $X_1,\ldots,X_n\sim\operatorname N(\mu,\sigma^2)$ and you can observe only the sample size $n,$ the two extreme values, and the first, second, and third quantiles of the sample. Among unbiased ...
1 vote
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### How to combine a noisy (but unbiased) estimate with a precise (but possibly biased) estimate in A/B tests?

Suppose I want to estimate some set of unknown quantities $\theta_1$, …, $\theta_N$. For each $i \in \{1, …, N\}$, I have two estimators: $\hat{\theta_i}_A$ and $\hat{\theta_i}_B$. The goal is to ...
1 vote
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### How should I write the units for MSE in its formula and in a plot axis?

I am trying to write a paper for IEEE and would like to know if for MSE, which can have any units, it correct to write "MSE (error^2)" in its formula (i.e. MSE (error^2) = ) and in a plot ...
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### How to choose between R2 and MSE scores?

I have a dataset with approximately 2500 observations and 50 variables. The response variable is numerical, so my objective is to build a regression model. I have built one penalized linear regression ...
1 vote
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### Which evaluation metric should I choose? AIC or MSE?

I am currently at a total loss, so I hope someone can point me in the right direction regarding my model selection. The situation I want to create a linear model that best forecasts my data. I am ...
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### Understanding tensorflow calculation of MSE for output vector of N dimensions

Here is the code example with variable names guiding the process: ...
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### How to compare the performance of a volatility forecast like GARCH (1,1) with exogenous variables (MSE?)

I want to investigate, weather financial news have an influence on the volatility prediction of asset returns (daily data) when including them into the variance model/mean model. I have fit a GARCH/...
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### Can there be any situations where MLE performs better than MPS in terms of MSE or Bias?

Cheng and Amin (1983) proposed the maximum product of spacing estimation method as an alternative to maximum likelihood estimation. They stated that MPS behaves better in small sample cases than MLE ...
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### Confused on the definition of Residual standard error

I am confusing with the actuarial text book. It said the residual standard error is s =RSS/(n-2), why it is not $\sqrt{\frac{RSS}{n-2}}$? And also, what is the difference between the MSE and RSS, ...
1 vote
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### Foreacast Combinations: derivation of minimum MSE / variance approach

I am just despairing of the derivation of the minimum variance procedure. The method of the combination of forecasts was first established in 1969 by Bates and Granger. They also invented the minimum ...
1 vote