Meta & resources

Probability, statistics and data analysis

Machine Learning: concepts & procedures

Machine Learning: fundamental algorithms

Machine Learning: model assessment

Artificial neural networks

Natural language processing

The computer science appendix

The mathematics appendix

Regression metrics

RMSE: root mean square error

This is probably the most common metric used to assess the quality of a regression task. The RMSE is calculated as

$RMSE = \sqrt{\frac{ \sum_{i=1}^n (y_i - \hat{y_i})^2 }{n}} \ ,$

where*residual*). This metric represents the square root of the average of the squared differences between the actual and the predicted values.

$n$

is the number of samples in the set,$y$

the actual value and$\hat y$

the predicted score (the difference between predicted and actual value being called the RSS: residual sum of squares

The RSS is calculated as

$RSS = \sum_{i=1}^n (y_i - \hat{y_i})^2$

The RSS expresses the *unexplained* variance, the variance not captured by the model.

â€‹

$R^2$

: coefficient of determinationThe coefficient of determination, usually indicated as

$R^2$

, expresses the proportion of the variance in the dependent variable that is predictable from the independent variable. It is a number smaller or equal than 1, 1 being the best situation.Calling

$\hat{y}$

the predicted values and$y$

the actual values, we calculate the average of the actual values$\bar y = \frac{1}{n} \sum_{i=1}^n y_i \ ,$

the *total sum of squares*

$SS_{TOT} = \sum_{i=1}^n (y_i - \bar y)^2$

and the explained sum of squares

$SS_{exp} = \sum_{i=1}^n (\hat{y_i} - \hat y)^2$

With the definition of the RSS from above, we have

$R^2 = 1 - \frac{RSS}{SS_{TOT}}$

The second bit expresses the fraction of unexplained variance to the total variance in the data, so the

$R^2$

is the fraction of variance explained to the total variance.MAE: mean absolute error

The MAE is calculated as

$MAE = \frac{1}{n} \sum_{i=1}^n (y_i - \hat{y_i}) \ ,$

that is, as the average of the differences of the actual to the predicted values

â€‹

References

- 1.
- 2.

Last modified 7mo ago