A Collection of Loss Functions for Assessing Point Forecasts

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Documentation for package ‘scoringfunctions’ version 1.1

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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_sf beta-median scoring function
bregman1_sf Bregman scoring function (type 1)
bregman2_sf Bregman scoring function (type 2, Patton scoring function)
bregman3_sf Bregman scoring function (type 3, QLIKE scoring function)
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_sf Generalized Huber scoring function
gpl1_sf Generalized piecewise linear power scoring function (type 1)
gpl2_sf Generalized piecewise linear power scoring function (type 2)
hubermean_if Huber mean identification function
huberquantile_if Huber quantile identification function
huber_rs Mean Huber score
huber_sf Huber scoring function
interval_sf Interval scoring function (Winkler scoring function)
linex_sf LINEX scoring function
lqmean_sf L_q-mean scoring function
lqquantile_sf L_q-quantile scoring function
mae Mean absolute error (MAE)
maelog_sf MAE-LOG scoring function
maesd_sf MAE-SD scoring function
mape Mean absolute percentage error (MAPE)
meanlog_if Log-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_sf n-th moment scoring function
nse Nash-Sutcliffe efficiency (NSE)
obsweighted_sf Observation-weighted scoring function
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_sf Squared error exp scoring function
serrlog_sf Squared error log scoring function
serrpower_sf Squared error of power transformations scoring function
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