The Continuous Ranked Probability Score (CRPS) is a metric used to evaluate the accuracy of probabilistic forecasts by comparing the cumulative distribution function of the forecast to the observed outcome. It provides a single score that measures both the reliability and resolution of the forecast, making it a comprehensive tool for assessing predictive performance in various domains, such as meteorology and finance.

Continuous Ranked Probability Score

CRPS

Metric used to evaluate the accuracy of probabilistic forecasts

A Cumulative Distribution Function (CDF) represents the probability that a random variable takes on a value less than or equal to a specific value, providing a complete description of the probability distribution of a real-valued random variable. The CDF is a non-decreasing, right-continuous function that ranges from 0 to 1, capturing the cumulative probability across the entire range of possible values.

Cumulative Distribution Function

Observed outcome

Single score

Reliability refers to the consistency and dependability of a system, process, or measurement over time. It is crucial for ensuring trust and accuracy in various fields, such as engineering, psychology, and statistics, where repeated results are essential for validation and decision-making.

Reliability

Resolution of the forecast

Comprehensive tool for assessing predictive performance

Predictive performance evaluates how accurately a model forecasts outcomes on unseen data, serving as a critical metric for assessing the model's utility and reliability in practical applications. It encompasses various metrics and techniques to ensure that a model generalizes well beyond the training dataset, thus guiding improvements and ensuring robustness.

Predictive Performance

Various domains

Meteorology is the scientific study of the atmosphere that focuses on weather processes and forecasting. It involves understanding atmospheric phenomena and patterns to predict weather and analyze climate trends.

Meteorology

Finance is the science of managing money, including the processes of acquiring, investing, and utilizing funds to achieve personal, corporate, or governmental goals. It encompasses various activities such as budgeting, saving, lending, investing, and forecasting to optimize financial resources and ensure stability and growth.

Concepts

Relevant Degrees

Your Lessons