crps
- BMCI.crps(y_obs, x_true, x2_max=-1.0)[source]
Compute the Continuous Ranked Probability Score.
This function approximates the cumulative probability density of the posterior distribution for the observations in
y_obsand computes the continuously ranked probability score (CRPS):\[CRPS(\mathbf{y}, x) = \int_{-\infty}^\infty (F_{x | \mathbf{y}}(x') - \mathrm{1}_{x < x'})^2 \: dx'\]- Parameters:
y_obs (numpy.ndarray) – Array of shape (n, m) containing the n observations for which to perform the retrieval.
x_true (numpy.ndarray) – 1-D array containing the n x values to test the predictions against.