calculate_PI_MSIS: Calculate the mean scaled interval score(MSIS) to evaluate...

In kdwang1808/Dejavu: Deja vu: forecasting with similarity

Description

Calculate the mean scaled interval score(MSIS) to evaluate the performance of generated predictive intervals

Usage

calculate_PI_MSIS(
  PIL,
  PIU,
  y,
  yout,
  gamma = 0.05,
  scaling = c("sdiff", "snaive")
)

Arguments

PIL	lower bounds for the prediction interval
PIU	upper bounds for the prediction interval
y	"vector" the observation series
yout	"vector" the generated series
gamma	calibrated significance level quantiles
scaling	scaling method: using different scaling or not

Value

The value calculated by MSIS function

kdwang1808/Dejavu documentation built on March 23, 2020, 5:14 a.m.