Tag: crps

Fixing the Pitfalls of Probabilistic Time-Series Forecasting Evaluation by Kernel Quadrature arXiv:2503.06079v1 Announce Type: new Abstract: Despite the significance of probabilistic time-series forecasting models, their evaluation metrics often involve intractable integrations. The most widely used metric, the continuous ranked probability score (CRPS), is a strictly proper scoring function; however, its computation requires approximation. We found…