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I want to estimate 95% C.I. for RMSE(Root mean square error).

However, i have a difficulty in estimating C.I. due to RMSE equation

(there is a root in RMSE equation)

JH.Kim
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1 Answers1

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You can use the same approach that is common to get confidence intervals for standard deviation: we get confidence intervals for variance and then just take the square root of the extremes of the interval.

Here you can compute a CI for mean square error and take the square root of the values you get. Since square root is a monotonic growing function, probabilities inside and outside of the interval remain the same.

Pere
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