The FitI companion object provides factory methods for assessing quality of fit for standard types of modeling techniques.
Attributes
Members list
Value members
Concrete methods
Return the help string that describes the Quality of Fit (QoFI) measures provided by the FitI class.
Return the help string that describes the Quality of Fit (QoFI) measures provided by the FitI class.
Attributes
- See also
Return the Interval Score (IS) metric, i.e., the ...
Return the Interval Score (IS) metric, i.e., the ...
Value parameters
- low
-
the lower bound
- up
-
the upper bound & @param alpha the prediction level
- y
-
the given time-series (must be aligned with the interval forecast)
Attributes
- See also
Return the Prediction Interval Coverage Probability (PICP) metric, i.e., the fraction is actual values inside the prediction interval.
Return the Prediction Interval Coverage Probability (PICP) metric, i.e., the fraction is actual values inside the prediction interval.
Value parameters
- low
-
the lower bound
- up
-
the upper bound
- y
-
the given time-series (must be aligned with the interval forecast)
Attributes
Return the Prediction Interval Normalised Average Deviation (PINAD) metric, i.e., the normalized (by range) average deviation outside the prediction interval.
Return the Prediction Interval Normalised Average Deviation (PINAD) metric, i.e., the normalized (by range) average deviation outside the prediction interval.
Value parameters
- low
-
the lower bound
- up
-
the upper bound
- y
-
the given time-series (must be aligned with the interval forecast)
Attributes
Create a table to store statistics for QoFI measures, where each row corresponds to the statistics on a particular QoFI measure.
Create a table to store statistics for QoFI measures, where each row corresponds to the statistics on a particular QoFI measure.
Attributes
Tally the current QoFI measures into the statistical accumulators.
Tally the current QoFI measures into the statistical accumulators.
Value parameters
- qof
-
the current QoFI measure vector
- stats
-
the statistics table being updated
Attributes
Return the Weighted Interval Score (WIS) metric, i.e., the ...
Return the Weighted Interval Score (WIS) metric, i.e., the ...
Value parameters
- alphas
-
the array of prediction levels
- low
-
the lower bounds for various alpha levels
- up
-
the upper bounds for various alpha levels
- y
-
the given time-series (must be aligned with the interval forecast)
- yp
-
the point prediction mean/median
Attributes
- See also