check.func {verification}

check loss function

Description

Calculates the check loss function.

Usage

check.func(u, p)

Arguments

u

Value to be evaluated

p

Probability level [0,1]

Details

The check loss is calculated as \rho_{p} (u) = (abs(u) + (2*p-1)*u)/2.

Value

The check loss for value u and probability level p.

Note

This function is used within quantileScore.

Author(s)

Sabrina Bentzien

Examples

## The function is currently defined as
function (u, p) 
{
    rho <- (abs(u) + (2 * p - 1) * u) * 0.5
  }