greybox (version 0.6.4)

pinball: Pinball function

Description

The function returns the value from the pinball function for the specified level and the type of loss

Usage

pinball(holdout, forecast, level, loss = 1)

Arguments

holdout

The vector or matrix of the holdout values.

forecast

The forecast of prediction interval (should be the same length as the holdout).

level

The level of the prediction interval associated with the forecast.

loss

The type of loss to use. The number which corresponds to L1, L2 etc.

Value

The function returns the scalar value.

Examples

# NOT RUN {
# An example with mtcars data
ourModel <- alm(mpg~., mtcars[1:30,], distribution="dnorm")

# Produce predictions with the interval
ourForecast <- predict(ourModel, mtcars[-c(1:30),], interval="p")

# Pinball with the L1 (quantile value)
pinball(mtcars$mpg[-c(1:30)],ourForecast$upper,level=0.975,loss=1)
pinball(mtcars$mpg[-c(1:30)],ourForecast$lower,level=0.025,loss=1)

# Pinball with the L2 (expectile value)
pinball(mtcars$mpg[-c(1:30)],ourForecast$upper,level=0.975,loss=2)
pinball(mtcars$mpg[-c(1:30)],ourForecast$lower,level=0.025,loss=2)

# }