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Problem with ME, MAD, MSE
•  All these three measures are not unit free and also not scale free
•  Just think of a case that one is forecasHng sales figures. Someone
in India using rupee figure, and somebody else in USA is expressing
the same sales figure in dollar. Both are using the same model.
However forecast measure will differ. This is a very awkward
situaHon
•  MSE has the added disadvantage that its unit is in square. RMSE
does not have this added disadvantage
•  So we need unit free measure
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