The Continuous Rank Probability Score of a Generalized Beta-Prime Distribution and Some Special Cases
Matthew LeDuc
TL;DR
This paper derives the Continuous Ranked Probability Score for a generalized beta-prime distribution and related special cases, providing analytical formulas and validating them against Monte Carlo estimates.
Contribution
It introduces new analytical derivations of the CRPS for the generalized beta-prime distribution and its special cases, enhancing evaluation methods for probabilistic forecasts.
Findings
Analytical formulas for CRPS of the generalized beta-prime distribution
Validation of formulas against Monte Carlo estimates
Extension to special cases like Dagum and Singh-Maddala distributions
Abstract
This working paper describes new results in derivations of the Continuous Ranked Probability Score of a generalized beta-prime distribution and several special cases, such as the Dagum distribution and Singh-Maddala distribution. Comparison with Monte Carlo estimates is also presented.
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Taxonomy
TopicsStatistical Distribution Estimation and Applications · Probability and Risk Models · Statistical Methods and Bayesian Inference