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scoringfunctions (version 1.1)

A Collection of Loss Functions for Assessing Point Forecasts

Description

Implements multiple consistent scoring functions (Gneiting T (2011) ) for assessing point forecasts and point predictions. Detailed documentation of scoring functions' properties is included for facilitating interpretation of results.

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Version

Install

install.packages('scoringfunctions')

Monthly Downloads

334

Version

1.1

License

GPL-3

Maintainer

Hristos Tyralis

Last Published

March 3rd, 2025

Functions in scoringfunctions (1.1)

Interval scoring function (Winkler scoring function)

Generalized Huber scoring function

Generalized piecewise linear power scoring function (type 2)

huberquantile_if

Huber quantile identification function

Asymmetric piecewise quadratic scoring function (expectile scoring function, expectile loss function)

Realised expectile score

Log-transformed identification function

Mean relative error (MRE)

Mean Huber score

MAE-LOG scoring function

Generalized piecewise linear power scoring function (type 1)

MAE-SD scoring function

Mean squared error (MSE)

\(n\)-th moment scoring function

Mean identification function

Mean squared percentage error (MSPE)

Mean absolute percentage error (MAPE)

Nash-Sutcliffe efficiency (NSE)

Observation-weighted scoring function

Quantile identification function

LINEX scoring function

Asymmetric piecewise linear scoring function (quantile scoring function, quantile loss function)

scoringfunctions-package

Overview of the functions in the scoringfunctions package

Squared error scoring function

Huber scoring function

Huber mean identification function

Sample quantile level function

\(n\)-th moment identification function

Squared error of power transformations scoring function

Squared error of squares scoring function

Mean absolute error (MAE)

\(L_q\)-quantile scoring function

Mean - variance scoring function

Relative error scoring function (MAE-PROP scoring function)

Realised quantile score

Squared relative error scoring function

Squared percentage error scoring function

Squared error exp scoring function

\(L_q\)-mean scoring function

Squared error log scoring function

Mean squared relative error (MSRE)

Mean - variance identification function

Error - spread scoring function

Absolute error scoring function

Bregman scoring function (type 2, Patton scoring function)

Bregman scoring function (type 3, QLIKE scoring function)

Bregman scoring function (type 4, Patton scoring function)

capping_function

Capping function

Absolute percentage error scoring function

\(\beta\)-median scoring function

Expectile identification function

Bregman scoring function (type 1)