Computes weighted interval score (WIS), a well-known quantile-based approximation of the commonly-used continuous ranked probability score (CRPS). WIS is a proper score, and can be thought of as a distributional generalization of absolute error. For example, see Bracher et al. (2020) for discussion in the context of COVID-19 forecasting.
weighted_interval_score(quantile, value, actual_value)
| quantile | vector of forecasted quantiles |
|---|---|
| value | vector of forecasted values |
| actual_value | Actual value. |