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Concept
Root-mean-square deviation
Summary
The root-mean-square deviation (RMSD) or 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 RMSD 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 RMSD serves to aggregate the magnitudes of the errors in predictions for various data points into a single measure of predictive power. RMSD 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.
RMSD 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 RMSD 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.
RMSD is the square root of the average of squared errors. The effect of each error on RMSD is proportional to the size of the squared error; thus larger errors have a disproportionately large effect on RMSD. Consequently, RMSD is sensitive to outliers.
The RMSD of an estimator with respect to an estimated parameter is defined as the square root of the mean squared error:
For an unbiased estimator, the RMSD is the square root of the variance, known as the standard deviation.
The RMSD of predicted values for times t of a regression's dependent variable with variables observed over T times, is computed for T different predictions as the square root of the mean of the squares of the deviations:
(For regressions on cross-sectional data, the subscript t is replaced by i and T is replaced by n.
Official source
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