Why do we square the residuals instead of using modulus?

[vishrut-singhal]

This question can be understood that why one should prefer the absolute error instead of the squared error.

1. In fact, the absolute error is often closer to what we want when making predictions from our model. But, if we want to penalize those predictions that are contributing to the maximum value of error.

2. Moreover in mathematical terms, the squared function is differentiable everywhere, while the absolute error is not differentiable at all the points in its domain(its derivative is undefined at 0). This makes the squared error more preferable to the techniques of mathematical optimization. To optimize the squared error, we can compute the derivative and set its expression equal to 0, and solve. But to optimize the absolute error, we require more complex techniques having more computations.

3. Actually, we use the Root Mean Squared Error instead of Mean squared error so that the unit of RMSE and the dependent variable are equal and results are interpretable.