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Some Matlab Routines To Compute Crps And Quantile Weighted Ps, Michael S. Smith
Some Matlab Routines To Compute Crps And Quantile Weighted Ps, Michael S. Smith
Michael Stanley Smith
Three routines to compute the CRPS of Gneiting and Raftery (JASA 2007) and the quantile weighted probability score (QWPS) extension in Gneiting and Ranjan (JBES, 2011). They are based on numerical integration as discussed in the Appendix of Smith and Vahey (2015), and I have found them to be much more accurate than using Monte Carlo approximation to the difference of two expectations, as advocated in Panagiotelis and Smith (IJF, 2008).