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"Calculate confidence interval of RMSE"
I have two forecasting algorithms that output some forecast for the temperature 24 hours a head in time.
Algorithm A uses 1-nearest neighbours.
Algorithm B is a baseline algorithm, and simply outputs the last known temperature value as a prediction.
Lets say I calculate the Mean Squared Error, and the Variance of the Squared Error for A and B on a separate test set with N data points.
Then what is the confidence interval of MSE_A?
And what is the confidence interval of MSE_B?