R: Continuous Rank Probability Score

CRPS {bamlss} | R Documentation

## Continuous Rank Probability Score

### Description

The function computes the continuous rank probability score (CRPS). Note that the function uses numerical integration, for highly efficient computation please see the scoringRules package.

### Usage

    CRPS(object, newdata = NULL,
      interval = c(-Inf, Inf), FUN = mean,
      term = NULL, ...)

### Arguments

`object` | An object returned from `bamlss`.
`newdata` | Optional new data that should be used for calculation.
`interval` | The interval that should be used for numerical integration
`FUN` | Function to be applied on the CRPS scores.
`term` | If required, specify the model terms that should be used within the `predict.bamlss` function.
`...` | Arguments passed to function `FUN`.

### References

Gneiting T, Raftery AE (2007). Strictly Proper Scoring Rules, Prediction, and Estimation." Journal of the American Statistical Association, 102(477), 359–378. doi: 10.1198/016214506000001437cd ..

Gneiting T, Balabdaoui F, Raftery AE (2007). Probabilistic Forecasts, Calibration and Sharpness. Journal of the Royal Statistical Society B, 69(2), 243–268. doi: 10.1111/j.1467-9868.2007.00587.x

### Examples

    ## Not run: ## Simulate data.
    d <- GAMart()

    ## Model only including covariate x1.
    b1 <- bamlss(num ~ s(x1), data = d)

    ## Now, also including x2 and x2.
    b2 <- bamlss(num ~ s(x1) + s(x2) + s(x3), data = d)

    ## Compare using the CRPS score.
    CRPS(b1)
    CRPS(b2)

    ## End(Not run)

[Package bamlss version 1.1-7 Index]