bias_quantile {scoringutils}

Determines Bias of Quantile Forecasts

Description

Determines bias from quantile forecasts. For an increasing number of quantiles this measure converges against the sample based bias version for integer and continuous forecasts.

Usage

bias_quantile(predictions, quantiles, true_value)

Arguments

predictions

vector of length corresponding to the number of quantiles that holds predictions

quantiles

vector of corresponding size with the quantiles for which predictions were made. If this does not contain the median (0.5) then the median is imputed as being the mean of the two innermost quantiles.

true_value

a single true value

Details

For quantile forecasts, bias is measured as

B_t = (1 - 2 \cdot \max \{i | q_{t,i} \in Q_t \land q_{t,i} \leq x_t\}) \mathbf{1}( x_t \leq q_{t, 0.5}) \\ + (1 - 2 \cdot \min \{i | q_{t,i} \in Q_t \land q_{t,i} \geq x_t\}) 1( x_t \geq q_{t, 0.5}),

where Q_t is the set of quantiles that form the predictive distribution at time t. They represent our belief about what the true value $x_t$ will be. For consistency, we define Q_t such that it always includes the element q_{t, 0} = - \infty and q_{t,1} = \infty. 1() is the indicator function that is 1 if the condition is satisfied and $0$ otherwise. In clearer terms, B_t is defined as the maximum percentile rank for which the corresponding quantile is still below the true value, if the true value is smaller than the median of the predictive distribution. If the true value is above the median of the predictive distribution, then $B_t$ is the minimum percentile rank for which the corresponding quantile is still larger than the true value. If the true value is exactly the median, both terms cancel out and B_t is zero. For a large enough number of quantiles, the percentile rank will equal the proportion of predictive samples below the observed true value, and this metric coincides with the one for continuous forecasts.

Bias can assume values between -1 and 1 and is 0 ideally (i.e. unbiased).

Value

scalar with the quantile bias for a single quantile prediction

Author(s)

Nikos Bosse [e-mail]

Examples

predictions <- c(
  705.500, 1127.000, 4006.250, 4341.500, 4709.000, 4821.996,
  5340.500, 5451.000, 5703.500, 6087.014, 6329.500, 6341.000,
  6352.500, 6594.986, 6978.500, 7231.000, 7341.500, 7860.004,
  7973.000, 8340.500, 8675.750, 11555.000, 11976.500
)

quantiles <- c(0.01, 0.025, seq(0.05, 0.95, 0.05), 0.975, 0.99)

true_value <- 8062

bias_quantile(predictions, quantiles, true_value = true_value)