Root Mean Squared Error (RMSE)

The root-mean-square error (RMSE) is a frequently used measure of the differences between values (sample or population values) predicted by a model or an estimator and the values observed. The RMSE represents the square root of the second sample moment of the differences between predicted values and observed values or the quadratic mean of these differences. These deviations are called residuals when the calculations are performed over the data sample that was used for estimation and are called errors (or prediction errors) when computed out-of-sample. The RMSE serves to aggregate the magnitudes of the errors in predictions for various data points into a single measure of predictive power. RMSE is a measure of accuracy, to compare forecasting errors of different models for a particular dataset and not between datasets, as it is scale-dependent.

RMSE is always non-negative, and a value of 0 (almost never achieved in practice) would indicate a perfect fit to the data. In general, a lower RMSE is better than a higher one. However, comparisons across different types of data would be invalid because the measure is dependent on the scale of the numbers used.

RMSE is the square root of the average of squared errors. The effect of each error on RMSE is proportional to the size of the squared error; thus larger errors have a disproportionately large effect on RMSE. Consequently, RMSE is sensitive to outliers.