Evaluating regression performance
So far, we've covered three popular regression algorithms in depth and implemented them from scratch by using several prominent libraries. Instead of judging how well a model works on testing sets by printing out the prediction, we need to evaluate its performance with the following metrics, which give us better insights:
- The MSE, as I mentioned, measures the squared loss corresponding to the expected value. Sometimes the square root is taken on top of the MSE in order to convert the value back into the original scale of the target variable being estimated. This yields the root mean squared error (RMSE). Also, the RMSE has the benefit of penalizing large errors more since we first calculate the square of an error.
- The mean absolute error (MAE) on the other hand measures the absolute loss. It uses the same scale as the target variable and gives us an idea of how close the predictions are to the actual values...