pykelihood.metrics.

crps

crps(distribution, data)

Continuous Rank Probability Score (CRPS).

Evaluates the continuous proximity of the empirical cumulative distribution function and that of the fitted distribution \(F\).

\[CRPS = \int_{-\infty}^{\infty}(F(t)-\frac{1}{N}\sum_{i=1}^N H(t,y_i))^2dt,\]

where \(F\) is the cumulative distribution function of the fitted distribution and with H the Heavyside function equal to 0 for \(t<y\), 1/2 for \(t=y\) and 1 for \(t>y\).

Parameters:

• distribution (Distribution) – pykelihood.Distribution object.

• data (Obs) – Data of type Obs.