Quantile prediction calibration error
Usage
quantile_prediction_error(y, Q_hat, prob_level, na.rm = FALSE)
Arguments
- y
Vector of observations.
- Q_hat
Vector of predicted quantiles at probability level prob_level.
- prob_level
Probability level of the predicted quantile.
- na.rm
A logical value indicating whether NA values should be stripped before the computation proceeds.
Value
The quantile prediction error calibration metric.
Examples
quantile_prediction_error(c(2.3, 4.2, 1.8), c(2.9, 5.6, 2.7), prob_level=0.8)
#> [1] 0.8660254