Interval estimate accuracy measures

Interval estimate accuracy measures

winkler_score(.dist, .actual, level = 95, na.rm = TRUE, ...)

pinball_loss(.dist, .actual, level = 95, na.rm = TRUE, ...)

scaled_pinball_loss(
  .dist,
  .actual,
  .train,
  level = 95,
  na.rm = TRUE,
  demean = FALSE,
  .period,
  d = .period == 1,
  D = .period > 1,
  ...
)

interval_accuracy_measures

Format

An object of class list of length 3.

Arguments

.dist

The distribution of fitted values from the model, or forecasted values from the forecast.

.actual

A vector of responses matching the fitted values (for forecast accuracy, new_data must be provided).

level

The level of the forecast interval.

na.rm

Remove the missing values before calculating the accuracy measure

...

Additional arguments for each measure.

.train

A vector of responses used to train the model (for forecast accuracy, the orig_data must be provided).

demean

Should the response be demeaned (MASE)

.period

The seasonal period of the data (defaulting to 'smallest' seasonal period). from a model, or forecasted values from the forecast.

d

Should the response model include a first difference?

D

Should the response model include a seasonal difference?