Energy score for multivariate forecasts — energy_score

Compute the multivariate energy score (see scoringRules::es_sample) for each group defined by mv_group_id.

Usage

energy_score_multivariate(observed, predicted, mv_group_id, w = NULL)

observed: A vector with observed values of size n
predicted: nxN matrix of predictive samples, n (number of rows) being the number of data points and N (number of columns) the number of Monte Carlo samples. Alternatively, if n = 1, predicted can just be a vector of size n.
mv_group_id: Numeric vector of length n with ids indicating the grouping of predicted values. Conceptually, each row of the predicted matrix could be seen as a separate (univariate) forecast. The grouping id then groups several of those forecasts together, treating them as a single multivariate forecast.
w: numeric vector of weights for forecast draws (length equal to number of columns of dat)