Model Selection Using the Right Error Metric: The “Best” Model May Not Be Good
Tuesday, June 20, 2023
Red Rock Ballroom A
Predictive modelers love building the models and then comparing them to determine the best model to deliver to the stakeholder. For Regression, the common metrics are R^2, mean squared error, root mean squared error, or mean absolute error. For classification, we usually see the confusion matrix as the basis for accuracy: Precision/Recall, Specificity/Sensitivity, and percent correct classification. These all have their place in our toolbox.
However, in many projects, if not in the majority of products, the business doesn’t care about any of these. The model is intended to increase revenue or minimize churn. If the analyst uses a standard metric, that modeler may optimize the standard metric but miss out on better models for the business. In this talk, alternative metrics will be explored that improve the effectiveness of the models operationally for the business.