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Mean Absolute Error

Mean absolute error (MAE) is a measure of the average absolute difference between two continuous variables. MAE is calculated as the average vertical or horizontal distance between each data point in a scatter plot and the line of best fit (Y=X line). Lower MAE values indicate better fit, with MAE representing the average absolute error between predicted and observed values without considering direction. While root mean squared error (RMSE) is also used, MAE is preferred by some researchers as it is easier to interpret and understand.

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156 views

Mean Absolute Error

Mean absolute error (MAE) is a measure of the average absolute difference between two continuous variables. MAE is calculated as the average vertical or horizontal distance between each data point in a scatter plot and the line of best fit (Y=X line). Lower MAE values indicate better fit, with MAE representing the average absolute error between predicted and observed values without considering direction. While root mean squared error (RMSE) is also used, MAE is preferred by some researchers as it is easier to interpret and understand.

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Cinthya
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© © All Rights Reserved
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Download as DOCX, PDF, TXT or read online on Scribd
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Mean absolute error

From Wikipedia, the free encyclopedia


For dispersion within univariate datasets, see Average absolute deviation and Mean absolute
difference.
In statistics, mean absolute error (MAE) is a measure of difference between two continuous
variables. Assume X and Y are variables of paired observations that express the same
phenomenon. Examples of Y versus X include comparisons of predicted versus observed,
subsequent time versus initial time, and one technique of measurement versus an alternative
technique of measurement. Consider a scatter plot of n points, where point i has coordinates
(xi, yi)... Mean Absolute Error (MAE) is the average vertical distance between each point and
the Y=X line, which is also known as the One-to-One line. MAE is also the average horizontal
distance between each point and the Y=X line.
The Mean Absolute Error is given by:

[1]

It is possible to express MAE as the sum of two components: Quantity Disagreement and
Allocation Disagreement. Quantity Disagreement is the absolute value of the Mean Error.
Allocation Disagreement is MAE minus Quantity Disagreement. The Mean Error is given by:

[2]

It is also possible to identify the types of difference by looking at an plot. Allocation


difference exists if and only if points reside on both sides of the Y=X line. Quantity difference
exists when the average of the X values does not equal the average of the Y values.[2][3]
MAE has a clear interpretation as the average absolute difference between yi and xi. Many
researchers want to know this average difference because its interpretation is clear, but
researchers frequently compute and misinterpret the Root Mean Squared Error (RMSE), which
is not the average absolute error.[1][3]

MAE vs. RMSE

As the name suggests, the mean absolute error is an average of the absolute errors ,

where is the prediction and the true value. Note that alternative formulations may
include relative frequencies as weight factors. The mean absolute error uses the same scale
as the data being measured. This is known as a scale-dependent accuracy measure and
therefore cannot be used to make comparisons between series using different scales.[4] The
mean absolute error is a common measure of forecast errorin time series analysis,[5] where the
terms "mean absolute deviation" is sometimes used in confusion with the more standard
definition of mean absolute deviation. The same confusion exists more generally.

Related measures[edit]
The mean absolute error is one of a number of ways of comparing forecasts with their eventual
outcomes. Well-established alternatives are the mean absolute scaled error(MASE) and
the mean squared error. These all summarize performance in ways that disregard the direction
of over- or under- prediction; a measure that does place emphasis on this is the mean signed
difference.
Where a prediction model is to be fitted using a selected performance measure, in the sense
that the least squares approach is related to the mean squared error, the equivalent for mean
absolute error is least absolute deviations.
MAE is not identical to RMSE, but some researchers report and interpret RMSE as if RMSE
reflects the measurement that MAE gives. MAE is conceptually simpler and more interpretable
than RMSE. MAE does not require the use of squares or square roots. The use of squared
distances hinders the interpretation of RMSE. MAE is simply the average absolute vertical or
horizontal distance between each point in a scatter plot and the Y=X line. In other words, MAE
is the average absolute difference between X and Y. MAE is fundamentally easier to
understand than the square root of the average of the sum of squared deviations. Furthermore,
each error contributes to MAE in proportion to the absolute value of the error, which is not true
for RMSE.[2] See the example above for an illustration of these differences.

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