Quantile loss

Quantile loss

Usage

quantile_loss(
  y,
  y_hat,
  q,
  return_agg = c("mean", "sum", "vector"),
  na.rm = FALSE
)

Arguments

y

Vector of observations.

y_hat

Vector of predicted quantiles at probability level q.

q

Probability level of the predicted quantile.

return_agg

Whether to return the "mean" (default), "sum", or "vector" of losses.

na.rm

A logical value indicating whether NA values should be stripped before the computation proceeds.

Value

The mean (or total or vectorial) quantile loss between y and y_hat at level q.

Examples

quantile_loss(c(2.3, 4.2, 1.8), c(2.9, 5.6, 2.7), q=0.8)
#> [1] 0.1933333