An R package to compute scoring rules for fixed (parametric) and simulated forecast distributions. Authored by Alexander Jordan (Heidelberg Institute for Theoretical Studies (HITS)), Fabian Krüger (Karlsruhe Institute of Technology (KIT)), Sebastian Lerch (KIT and HITS) and Sam Allen (University of Bern), with contributions from Maximiliane Graeter (KIT).
CRAN version:
install.packages("scoringRules")
Development version (GitHub):
# install.packages("devtools")
library(devtools)
install_github("FK83/scoringRules")
Scoring rules are functions S(F, y) which evaluate the accuracy of a forecast distribution F, given that an outcome y was observed. The scoringRules package contains functions to compute scoring rules, for a variety of distributions F that come up in applied work, and several choices of S. Two main classes of distributions are
We cover various scoring rules, including
Please refer to the package vignettes 'Evaluating Probabilistic Forecasts with scoringRules' and 'Weighted scoringRules' for details and references.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.