I started with MSE and MAE which was fine, but the follow-up about noise assumptions is where I got a bit shaky.
Start by clarifying that the choice depends on the data distribution and business objective, then compare MSE, MAE, and Huber loss across robustness, gradient behavior, and noise assumptions. Conclude with a recommendation for a typical scenario and mention how to validate the choice empirically.
Pro tip: Mention that the loss function should align with the evaluation metric and that you would empirically compare candidates using cross-validation, as this shows practical maturity beyond theoretical knowledge.
Ask about the data distribution, presence of outliers, and whether the business metric is sensitive to large errors. This shows you tailor solutions rather than giving a generic answer.
Briefly describe MSE, MAE, and Huber loss, and mention that each encodes different assumptions about noise (Gaussian, Laplacian, or mixed).
Discuss robustness to outliers, gradient behavior (e.g., MSE gradients grow with error, MAE gradients are constant, Huber transitions), and noise assumptions.
Give a concrete recommendation: e.g., use MSE if outliers are rare and large errors are costly; MAE if robustness is critical; Huber as a compromise.
Emphasize that the final choice should be validated via cross-validation and by checking residual plots, as theoretical properties may not hold in practice.
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