MetricsWeighted: elementary_score – R documentation

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elementary_score

Elementary Scoring Function for Expectiles and Quantiles

Description

Weighted average of the elementary scoring function for expectiles resp. quantiles at level alpha with parameter theta, see reference below. Every choice of theta gives a scoring function consistent for the expectile resp. quantile at level alpha. Note that the expectile at level alpha = 0.5 is the expectation (mean). The smaller the score, the better.

Usage

elementary_score_expectile(
  actual,
  predicted,
  w = NULL,
  alpha = 0.5,
  theta = 0,
  ...
)

elementary_score_quantile(
  actual,
  predicted,
  w = NULL,
  alpha = 0.5,
  theta = 0,
  ...
)

Arguments

`actual`	Observed values.
`predicted`	Predicted values.
`w`	Optional case weights.
`alpha`	Optional level of expectile resp. quantile.
`theta`	Optional parameter.
`...`	Further arguments passed to `weighted_mean`.

Value

A numeric vector of length one.

References

Ehm, W., Gneiting, T., Jordan, A. and Krüger, F. (2016), Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. J. R. Stat. Soc. B, 78: 505-562, <doi.org/10.1111/rssb.12154>.

Examples

elementary_score_expectile(1:10, c(1:9, 12), alpha = 0.5, theta = 11)
elementary_score_expectile(1:10, c(1:9, 12), alpha = 0.5, theta = 11, w = rep(1, 10))
elementary_score_quantile(1:10, c(1:9, 12), alpha = 0.5, theta = 11, w = rep(1, 10))

MetricsWeighted

Weighted Metrics, Scoring Functions and Performance Measures for Machine Learning

v0.5.2

GPL (>= 2)

Authors

Michael Mayer [aut, cre, cph], Christian Lorentzen [ctb, rev]

Initial release

2021-04-16