Post #327

#ml (WARNING: Promoting of my notes. This is a test.) I learned something very interesting today: CRPS. Suppose we would like to approximate the quantile function of some data points. If we assume a parametric model of the quantile function, e.g., Q(x|theta), how do we find the parameters using the given dataset? Naturally, we need a loss function to compare our quantile function to the datapoints. CRPS is a robust choice. I have seen it being used in several papers in time series forecasting. You can find more details here: https://datumorphism.leima.is/cards/time-series/crps/