quantile_loss: Quantile loss

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Quantile loss

Description

Quantile loss

Usage

quantile_loss(
  y,
  y_hat,
  q,
  return_agg = c("mean", "sum", "vector"),
  na.rm = FALSE
)

Arguments

y	Vector of observations.
y_hat	Vector of predicted quantiles at probability level q.
q	Probability level of the predicted quantile.
return_agg	Whether to return the "mean" (default), "sum", or "vector" of losses.
na.rm	A logical value indicating whether NA values should be stripped before the computation proceeds.

Value

The mean (or total or vectorial) quantile loss between y and y_hat at level q.

Examples

quantile_loss(c(2.3, 4.2, 1.8), c(2.9, 5.6, 2.7), q=0.8)

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