bamlss: CRPS – R documentation

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CRPS

Continuous Rank Probability Score

Description

The function computes the continuous rank probability score (CRPS). Note that the function uses numerical integration, for highly efficient computation please see the scoringRules package.

Usage

CRPS(object, newdata = NULL, interval = c(-Inf, Inf), FUN = mean, ...)

Arguments

`object`	An object returned from `bamlss`.
`newdata`	Optional new data that should be used for calculation.
`interval`	The interval that should be used for numerical integration
`FUN`	Function to be applied on the CRPS scores.
`...`	Arguments passed to function `FUN`.

References

Gneiting T, Raftery AE (2007). Strictly Proper Scoring Rules, Prediction, and Estimation." Journal of the American Statistical Association, 102(477), 359–378. doi: 10.1198/016214506000001437cd ..

Gneiting T, Balabdaoui F, Raftery AE (2007). Probabilistic Forecasts, Calibration and Sharpness. Journal of the Royal Statistical Society B, 69(2), 243–268. doi: 10.1111/j.1467-9868.2007.00587.x

Examples

## Not run: ## Simulate data.
d <- GAMart()

## Model only including covariate x1.
b1 <- bamlss(num ~ s(x1), data = d)

## Now, also including x2 and x2.
b2 <- bamlss(num ~ s(x1) + s(x2) + s(x3), data = d)

## Compare using the CRPS score.
CRPS(b1)
CRPS(b2)

## End(Not run)

bamlss

Bayesian Additive Models for Location, Scale, and Shape (and Beyond)

v1.1-3

GPL-2 | GPL-3

Authors

Nikolaus Umlauf [aut, cre] (<https://orcid.org/0000-0003-2160-9803>), Nadja Klein [aut] (<https://orcid.org/0000-0002-5072-5347>), Achim Zeileis [aut] (<https://orcid.org/0000-0003-0918-3766>), Meike Koehler [ctb], Thorsten Simon [aut] (<https://orcid.org/0000-0002-3778-7738>), Stanislaus Stadlmann [ctb]

Initial release

2021-01-25