Metrics

Metrics for evaluating the performance of probabilistic models. Non-exhaustive list, feel free to contribute by adding more.

Functions

bootstrap(metric, bootstrap_method)	Bootstrap utility.
likelihood(distribution, data)	Standard likelihood function.
log_likelihood(distribution, data)	Log-likelihood function.
opposite_log_likelihood(distribution, data)	Opposite log-likelihood function.
AIC(distribution, data)	Akaike Information Criterion (AIC).
BIC(distribution, data)	Bayesian Information Criterion (BIC).
crps(distribution, data)	Continuous Rank Probability Score (CRPS).
Brier_score(distribution, data[, threshold])	Brier Score.
quantile_score(distribution, data, quantile)	Quantile score.
qq_l1_distance(distribution, data)	QQ-Plot-like metric: mean L1 distance.
qq_l2_distance(distribution, data)	QQ-Plot-like metric: mean L2 distance.
pp_l1_distance(distribution, data)	PP-Plot-like metric: mean L1 distance.
pp_l2_distance(distribution, data)	PP-Plot-like metric: mean L2 distance.