gev.crps: Compute the Continuous Rank Probability Score (CRPS)
Description
This takes a large sample from a predictive distribution
and computes the CRPS for a number of observations. It is used in
judging the fit of predictive distributions.
Usage
gev.crps(Y.obs, Y.samp)
Arguments
Y.obs
A vector of observed values
Y.samp
A large sample from the posterior predictive distribution.