Precision and Recall for Regression

Cost sensitive prediction is a key task in many real world applications. Most existing research in this area deals with classification problems. This paper addresses a related regression problem: the prediction of rare extreme values of a continuous variable. These values are often regarded as outliers and removed from posterior analysis. However, for many applications (e.g. in finance, meteorology, biology, etc.) these are the key values that we want to accurately predict. Any learning method obtains models by optimizing some preference criteria. In this paper we propose new evaluation criteria that are more adequate for these applications. We describe a generalization for regression of the concepts of precision and recall often used in classification. Using these new evaluation metrics we are able to focus the evaluation of predictive models on the cases that really matter for these applications. Our experiments indicate the advantages of the use of these new measures when comparing predictive models in the context of our target applications.