If the distribution of my target variables is fat-tailed should I use MAE or RMSE for the loss function?
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1Why use a certain measure of forecast error (e.g. MAD) as opposed to another (e.g. MSE)? – user2974951 Jan 10 '22 at 10:19
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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