check.func {verification} | R Documentation |
Calculates the check loss function.
check.func(u, p)
u |
Value to be evaluated |
p |
Probability level [0,1] |
The check loss is calculated as \rho_{p} (u) = (abs(u) + (2*p-1)*u)/2
.
The check loss for value u and probability level p.
This function is used within quantileScore
.
Sabrina Bentzien
## The function is currently defined as
function (u, p)
{
rho <- (abs(u) + (2 * p - 1) * u) * 0.5
}