Predictive performance measures

• not taking into account uncertainty of predictions:
  • MAE (mean absolute error)
  • RMSE (root mean square error)
• taking into account uncertainty of predictions:
  • 95% CP (coverage probability): proportion of observations within the 95% prediction intervals
  • CRPS (Continuous Ranked Probability Score): integration on the response scale of the squared difference between the predicted and the observed (degenarate) CDF.