Evaluates the quantile score for a given observation against a quantile
estimate.
Usage
quantile_score(x, xhat, tau)
Arguments
- x
Vector of observed data values.
- xhat
Vector of estimated quantiles.
- tau
Quantile level (non-exceedance probability).
Value
The evaluated quantile score for each entry in the input vector(s).
Note
The quantile score is based on a loss function that goes by many
names – the "asymmetric absolute
deviation function", the "stick function", the "check function",
or the "pinball loss".
