crps {deepgp}

Calculates CRPS

Description

Calculates continuous ranked probability score (lower CRPS indicate better fits, better uncertainty quantification).

Usage

crps(y, mu, s2)

Arguments

y

response vector

mu

predicted mean

s2

predicted point-wise variances

References

Gneiting, T, and AE Raftery. 2007. Strictly Proper Scoring Rules, Prediction, and Estimation. Journal of the American Statistical Association 102 (477), 359-378.