Loss Functions for Assessing Point Forecasts

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Documentation for package ‘scoringfunctions’ version 1.2

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scoringfunctions-package Overview of the functions in the scoringfunctions package
aerr_sf Absolute error scoring function
aperr_sf Absolute percentage error scoring function
bmedian_rs Realised beta-median score
bmedian_sf beta-median scoring function
bregman1_rs Realised Bregman score (type 1)
bregman1_sf Bregman scoring function (type 1)
bregman2_rs Realised Bregman score (type 2, Patton score)
bregman2_sf Bregman scoring function (type 2, Patton scoring function)
bregman3_sf Bregman scoring function (type 3, QLIKE scoring function)
bregman4_rs Realised Bregman score (type 4, Patton score)
bregman4_sf Bregman scoring function (type 4, Patton scoring function)
capping_function Capping function
errorspread_sf Error - spread scoring function
expectile_if Expectile identification function
expectile_rs Realised expectile score
expectile_sf Asymmetric piecewise quadratic scoring function (expectile scoring function, expectile loss function)
ghuber_rs Realised generalized Huber score
ghuber_sf Generalized Huber scoring function
gpl1_rs Realised generalized piecewise linear power score (type 1)
gpl1_sf Generalized piecewise linear power scoring function (type 1)
gpl2_rs Realised generalized piecewise linear power score (type 2)
gpl2_sf Generalized piecewise linear power scoring function (type 2)
hubermean_if Huber mean identification function
huberquantile_if Huber quantile identification function
huber_rs Realised Huber score
huber_sf Huber scoring function
interval_sf Interval scoring function (Winkler scoring function)
linex_rs Realised LINEX score
linex_sf LINEX scoring function
lqmean_rs Realised L_q-mean score
lqmean_sf L_q-mean scoring function
lqquantile_rs Realised L_q-quantile score
lqquantile_sf L_q-quantile scoring function
mae Mean absolute error (MAE)
maelog_rs Realised MAE-LOG score
maelog_sf MAE-LOG scoring function
maesd_rs Realised MAE-SD score
maesd_sf MAE-SD scoring function
mape Mean absolute percentage error (MAPE)
meanexp_if Exp-transformed identification function
meanlog_if Log-transformed identification function
meanpower_if Power-transformed identification function
mean_if Mean identification function
mre Mean relative error (MRE)
mse Mean squared error (MSE)
mspe Mean squared percentage error (MSPE)
msre Mean squared relative error (MSRE)
mv_if Mean - variance identification function
mv_sf Mean - variance scoring function
nmoment_if n-th moment identification function
nmoment_rs Realised n-th moment score
nmoment_sf n-th moment scoring function
nse Nash-Sutcliffe efficiency (NSE)
obsweighted_rs Realised observation-weighted score
obsweighted_sf Observation-weighted scoring function
powerweighted_if Power-weighted identification function
powerweighted_sf Power-weighted squared error scoring function
qlike QLIKE
quantile_if Quantile identification function
quantile_level Sample quantile level function
quantile_rs Realised quantile score
quantile_sf Asymmetric piecewise linear scoring function (quantile scoring function, quantile loss function)
relerr_sf Relative error scoring function (MAE-PROP scoring function)
serrexp_rs Realised squared error exp score
serrexp_sf Squared error exp scoring function
serrlog_rs Realised squared error log score
serrlog_sf Squared error log scoring function
serrpower_rs Realised squared error of power transformations score
serrpower_sf Squared error of power transformations scoring function
serrsq_rs Realised squared error of squares score
serrsq_sf Squared error of squares scoring function
serr_sf Squared error scoring function
sperr_sf Squared percentage error scoring function
srelerr_sf Squared relative error scoring function