multilevel_q_pred_error: Multilevel 'quantile_prediction_error'

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Multilevel 'quantile_prediction_error'

Description

Multilevel version of quantile_prediction_error().

Usage

multilevel_q_pred_error(
  y,
  Pred_Q,
  proba_levels,
  prefix = "",
  na.rm = FALSE,
  give_names = TRUE
)

Arguments

y	Vector of observations.
Pred_Q	Matrix of of size length(y) times proba_levels, whose columns are the quantile predictions at each proba_levels and each row corresponds to an observation or realisation.
proba_levels	Vector of probability levels at which the predictions were made. Must be of length ncol(Pred_Q).
prefix	A string prefix to add to the output's names (if give_names is TRUE).
na.rm	A logical value indicating whether NA values should be stripped before the computation proceeds.
give_names	Whether to name the output errors (bool).

Value

A vector of length length(proba_levels) giving the quantile prediction error calibration metrics between each column of Pred_Q and the observations. If give_names is TRUE, the output vector is named paste0(prefix, "qPredErr_q", proba_levels).

EQRN documentation built on April 4, 2025, 12:45 a.m.