calc_crps: Calculate continuous rank probability score from a VETS model...
In nicholasjclark/mvforecast: Tools to fit, interrogate and forecast multivariate statistical and machine learning timeseries models

Calculate continuous rank probability score from a VETS model forecast distribution

1	calc_crps(simulation, y_test)

`simulation`	`matrix`. The forecast object, which can either be a simulation from `predict.tsvets.estimate` or a list of reconciled distributions from `thief_vets`
`y_test`	`xts matrix`. The out-of-sample test horizon of the outcome series

The sum of the CRPS is calculated against the test observations in y_test and returned. Calculations use the crps_sample function

a summary of the out-of-sample CRPS

nicholasjclark/mvforecast documentation built on Dec. 22, 2021, 2:11 a.m.

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