1

If the distribution of my target variables is fat-tailed should I use MAE or RMSE for the loss function?

Dylan Kerler
  • 261
  • 1
  • 9
  • 1
    [Why use a certain measure of forecast error (e.g. MAD) as opposed to another (e.g. MSE)?](https://stats.stackexchange.com/questions/45875/why-use-a-certain-measure-of-forecast-error-e-g-mad-as-opposed-to-another-e/45876#45876) – user2974951 Jan 10 '22 at 10:19
  • Is it a question about estimation or evaluation? If the former, the similar question does not provide the answer. – BigBendRegion Jan 10 '22 at 13:48

0 Answers0