Statistical Learning

How to normalize the RMSE

This post has been stimulated by a discussion with a colleague who asked about the normalization method for the root mean square error (NRMSE) in the INDperform R package, which is based on the indicator testing framework outlined in my article (Otto et al. 2018)1. At the time of writing the article and package I simply used a common approach and didn’t test it much further. But sparked by this discussion I started to test it thoroughly (as you will see below), which will make me revise the package.

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