The scoringfunctions package implements consistent scoring (loss) functions and identification functions
\(\textit{1.1.1. Consistent scoring functions for the mean}\)
bregman1_sf: Bregman scoring function (type 1)
bregman2_sf: Bregman scoring function (type 2, Patton scoring
function)
bregman3_sf: Bregman scoring function (type 3, QLIKE scoring
function)
bregman4_sf: Bregman scoring function (type 4, Patton scoring
function)
serr_sf: Squared error scoring function
\(\textit{1.1.2. Consistent scoring functions for expectiles}\)
expectile_sf: Asymmetric piecewise quadratic scoring function
(expectile scoring function, expectile loss function)
\(\textit{1.1.3. Consistent scoring functions for the median}\)
aerr_sf: Absolute error scoring function
maelog_sf: MAE-LOG scoring function
maesd_sf: MAE-SD scoring function
\(\textit{1.1.4. Consistent scoring functions for quantiles}\)
gpl1_sf: Generalized piecewise linear power scoring function
(type 1)
gpl2_sf: Generalized piecewise linear power scoring function
(type 2)
quantile_sf: Asymmetric piecewise linear scoring function
(quantile scoring function, quantile loss function)
\(\textit{1.1.5. Consistent scoring functions for Huber functionals}\)
ghuber_sf: Generalized Huber scoring function
huber_sf: Huber scoring function
\(\textit{1.1.6. Consistent scoring functions for other functionals}\)
aperr_sf: Absolute percentage error scoring function
bmedian_sf: \(\beta\)-median scoring function
linex_sf: LINEX scoring function
lqmean_sf: \(L_q\)-mean scoring function
lqquantile_sf: \(L_q\)-quantile scoring function
nmoment_sf: \(n\)-th moment scoring function
obsweighted_sf: Observation-weighted scoring function
relerr_sf: Relative error scoring function (MAE-PROP scoring
function)
serrexp_sf: Squared error exp scoring function
serrlog_sf: Squared error log scoring function
serrpower_sf: Squared error of power transformations scoring
function
serrsq_sf: Squared error of squares scoring function
sperr_sf: Squared percentage error scoring function
srelerr_sf: Squared relative error scoring function
interval_sf: Interval scoring function (Winkler scoring
function)
mv_sf: Mean - variance scoring function
errorspread_sf: Error - spread scoring function
\(\textit{2.1.1. Realised (average) score functions for the mean}\)
mse: Mean squared error (MSE)
\(\textit{2.1.2. Realised (average) score functions for expectiles}\)
expectile_rs: Realised expectile score
\(\textit{2.1.3. Realised (average) score functions for the median}\)
mae: Mean absolute error (MAE)
\(\textit{2.1.4. Realised (average) score functions for quantiles}\)
quantile_rs: Realised quantile score
\(\textit{2.1.5. Realised (average) score functions for Huber functionals}\)
huber_rs: Mean Huber score
\(\textit{2.1.6. Realised (average) score functions for other functionals}\)
mape: Mean absolute percentage error (MAPE)
mre: Mean relative error (MRE)
mspe: Mean squared percentage error (MSPE)
msre: Mean squared relative error (MSRE)
\(\textit{3.1.1. Skill score functions for the mean}\)
nse: Nash-Sutcliffe efficiency (NSE)
expectile_if: Expectile identification function
hubermean_if: Huber mean identification function
huberquantile_if: Huber quantile identification function
mean_if: Mean identification function
meanlog_if: Log-transformed identification function
nmoment_if: \(n\)-th moment identification function
quantile_if: Quantile identification function
mv_if: Mean - variance identification function
quantile_level: Sample quantile level function
capping_function: Capping function
The package functions are categorized into the following classes:
1. Scoring functions
1.1. Consistent scoring functions for one-dimensional functionals
1.2. Consistent scoring functions for two-dimensional functionals
1.3. Consistent scoring functions for multi-dimensional functionals
2. Realised (average) score functions
2.1 Realised (average) score functions for one-dimensional functionals
3. Skill score functions
3.1 Skill score functions for one-dimensional functionals
4. Identification functions
4.1. Identification functions for one-dimensional functionals
4.2. Identification functions for two-dimensional functionals
5. Functions for sample levels
6. Supporting functions
.