ACPS package

Version 1.0.0 (4.83 KB) by Matteo Iacopini

Computes the Asymmetric Continuous Probability Score (ACPS)

https://github.com/matteoiacopini/acps

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Updated 6 Jun 2020

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Computes the Asymmetric Continuous Probability Score (ACPS), an asymmetric proper scoring rule for evaluating and comparing density forecasts.
This is particularly useful when the decision maker has asymmetric preferences in terms of deviations of the forecasts from the target (e.g., he is more averse to underestimation).

See:
Iacopini, Ravazzolo and Rossini (2020), Proper scoring rules for evaluating asymmetry in density forecasting.

Cite As

Matteo Iacopini (2024). ACPS package (https://github.com/matteoiacopini/acps/releases/tag/1.0.0), GitHub. Retrieved April 26, 2024.

Iacopini, M., Ravazzolo, F. and Rossini, L. (2020), Proper scoring rules for evaluating asymmetry in density forecasting. Available at https://arxiv.org/abs/2006.11265. ACPS package (https://www.github.com/matteoiacopini/acps)