Empirical risk minimization is consistent with the mean absolute percentage error

Abstract

We study in this paper the consequences of using the Mean Absolute Percentage Error (MAPE) as a measure of quality for regression models. We show that finding the best model under the MAPE is equivalent to doing weighted Mean Absolute Error (MAE) regression. We also show that, under some asumptions, universal consistency of Empirical Risk Minimization remains possible using the MAPE.

in French, 47èmes Journées de Statistique de la SFdS, Jun 2015, Lille, France. 2015