quantile_prediction_error: Quantile prediction calibration error

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Quantile prediction calibration error

Description

Quantile prediction calibration error

Usage

quantile_prediction_error(y, Q_hat, prob_level, na.rm = FALSE)

Arguments

y	Vector of observations.
Q_hat	Vector of predicted quantiles at probability level prob_level.
prob_level	Probability level of the predicted quantile.
na.rm	A logical value indicating whether NA values should be stripped before the computation proceeds.

Value

The quantile prediction error calibration metric.

Examples

quantile_prediction_error(c(2.3, 4.2, 1.8), c(2.9, 5.6, 2.7), prob_level=0.8)

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