pinball: Calculate the pinball loss between actual and the predicted...

In tvwallace/gefcom17Model: Code used to compete in Gefcom 17

Description

pinball calculates the goodness of fit between an actual quantity, e.g. electricity demand, and a predicted quantile of that quantity.

Usage

pinball(y_act, y_pred, qu, dosum = 1)

Arguments

y_act	a single number or numerical vector of actual quantities
y_pred	the predicted quantile of that quantity
qu	the target quantile 0 < qu < 1
dosum	when 1, return the pinball loss as a single number

Value

a vector of pinball values, or their sum, depending on value of dosum

Examples

## Not run: 
act = rep(2700, 3)
pred = rep(2671, 3)
ploss = pinball( act, pred, 0.1)
# should return 8.7

## End(Not run)

tvwallace/gefcom17Model documentation built on Jan. 23, 2021, 12:48 a.m.