Understanding Model Evaluation in Regression Models

Optimizing Model Evaluation in Regression: Choose the Right Approach for Accurate Predictions

Posted by Luca Berton on Wednesday, October 11, 2023


Machine learning is a powerful tool that allows us to build predictive models, and regression is a vital aspect of it. The primary goal of regression is to create a model that accurately predicts unknown outcomes based on historical data. However, once we’ve built our model, how do we know if it’s truly accurate and trustworthy for making predictions? This is where model evaluation comes into play.

In this article, we’ll explore the various methods and techniques used to evaluate regression models. We’ll discuss the pros and cons of different evaluation approaches and introduce some key metrics for assessing the accuracy of regression models.

The Two Main Evaluation Approaches

The two primary evaluation approaches for regression models are “Train and Test on the Same Dataset,” which uses the entire dataset for both training and testing, and “Train/Test Split,” where the dataset is divided into distinct training and testing sets to achieve more realistic out-of-sample accuracy evaluation.

Train and Test on the Same Dataset

The simplest evaluation approach involves training the model on the entire dataset and then testing it on the same dataset. In this scenario, the model is evaluated using data for which we already know the target values. This approach typically results in high training accuracy but low out-of-sample accuracy. Training accuracy is the percentage of correct predictions when using the test dataset. However, a high training accuracy can be problematic because it may lead to overfitting, where the model becomes too tailored to the training data and fails to generalize well to new, unseen data.

Train/Test Split

To improve out-of-sample accuracy and avoid overfitting, we employ the train/test split approach. In this method, we divide the dataset into two distinct sets: a training set and a testing set. The model is trained on the training set and tested on the testing set. This approach provides a more realistic evaluation of out-of-sample accuracy since the testing data was not used in the model’s training. The goal is to ensure that the model can make accurate predictions on previously unseen data.

However, train/test split has its own limitations. It heavily depends on the specific data used for training and testing, which can introduce variability into the evaluation results.

K-Fold Cross-Validation

To address the limitations of the previous approaches, we turn to K-fold cross-validation. This method involves dividing the dataset into K distinct folds and then iteratively using K-1 folds for training and the remaining fold for testing. This process is repeated K times, with each fold serving as the testing set exactly once. The results of each fold are then averaged to produce a more consistent out-of-sample accuracy assessment.

K-fold cross-validation helps mitigate the dependence on a single train/test split, resulting in more robust model evaluation.


In summary, model evaluation in regression is a critical step in machine learning. It ensures that our models are accurate and reliable when making predictions on unseen data. By understanding and choosing the right evaluation approach, such as train/test split or K-fold cross-validation, we can fine-tune our models and increase their generalizability, ultimately leading to better decision-making and more effective solutions in a wide range of applications.