verification (version 1.09)

crps: Continuous Ranked Probability Score

Description

Calculates the crps for a forecast made in terms of a normal probability distribution and an observation expressed in terms of a continuous variable.

Usage

crps(obs, pred, ...)

Arguments

obs

A vector of observations.

pred

A vector or matrix of the mean and standard deviation of a normal distribution. If the vector has a length of 2, it is assumed that these values represent the mean and standard deviation of the normal distribution that will be used for all fo

...

Optional arguments

Value

• crps
  Continous ranked probability scores
• CRPS
  Mean of crps
• ign
  Ignorance score
• IGN
  Mean of the ignorance score

References

Gneiting, T., Westveld, A., Raferty, A. and Goldman, T, 2004: Calibrated Probabilistic Forecasting Using Ensemble Model Output Statistics and Minimum CRPS Estimation. Technical Report no. 449, Department of Statistics, University of Washington. [ Available online at http://www.stat.washington.edu/www/research/reports/ ]

Examples

#  probabilistic/ binary example


x <- runif(100) ## simulated observation.
crps(x, c(0,1))

## simulated forecast in which mean and sd differs for each forecast.
frcs<- data.frame( runif(100, -2, 2), runif(100, 1, 3 ) )
crps(x, frcs)