Summary
Utility metrics for point forecasts and prediction interval calibration.
Functions
| Function |
Description |
rmse(obs, pred) |
Root mean squared error |
mae(obs, pred) |
Mean absolute error |
coverage(obs, lower, upper) |
Empirical coverage of prediction intervals |
coverage_curve(obs, quantile_levels, quantile_values) |
Coverage as a function of nominal level |
Design Notes
- These are not proper scoring rules but are commonly used alongside them.
- Group under a
Diagnostics or Metrics submodule/section.
coverage_curve is useful for calibration assessment (PIT histograms, reliability diagrams).
Acceptance Criteria
Summary
Utility metrics for point forecasts and prediction interval calibration.
Functions
rmse(obs, pred)mae(obs, pred)coverage(obs, lower, upper)coverage_curve(obs, quantile_levels, quantile_values)Design Notes
DiagnosticsorMetricssubmodule/section.coverage_curveis useful for calibration assessment (PIT histograms, reliability diagrams).Acceptance Criteria