Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add quantile_score() which accepts user-defined quantiles #280

Closed
robjhyndman opened this issue Oct 5, 2020 · 6 comments
Closed

Add quantile_score() which accepts user-defined quantiles #280

robjhyndman opened this issue Oct 5, 2020 · 6 comments
Assignees

Comments

@robjhyndman
Copy link
Member

  1. This function is largely redundant as it averages over the 99 percentiles, so it gives a value that is half of CRPS. It would be more useful to have percentile scores for a user-defined list of percentiles, and the function return a vector corresponding to those percentiles.
  2. I think the pinball loss should be defined as exactly twice what is currently coded. That way, the loss at 50% equals absolute error and the average loss equals CRPS.
@mitchelloharawild
Copy link
Member

Do you think percentile_score() should have a different default percentiles, in addition to being user defined?

@robjhyndman
Copy link
Member Author

robjhyndman commented Oct 5, 2020

Maybe. Returning a vector of 99 percentiles makes intuitive sense given the name but is a little unwieldy. We could rename it to quantile_score with default prob = c(0.05,0.25,0.5,0.75,0.95).

@mitchelloharawild
Copy link
Member

I would prefer to keep percentile_score() and have it call quantile_score() for backwards compatibility with minimal cost. We can encourage use of quantile_score() instead.

@mitchelloharawild mitchelloharawild changed the title percentile_score issues Add quantile_score() which accepts user-defined quantiles Oct 5, 2020
mitchelloharawild added a commit that referenced this issue Oct 5, 2020
@mitchelloharawild
Copy link
Member

The definition of pinball loss or quantile score?
I've changed pinball loss here: 26c689c

@robjhyndman
Copy link
Member Author

The definition of quantile_score to match pinball_loss.

@mitchelloharawild
Copy link
Member

Done.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

2 participants