Achim Zeileis

Universität Innsbruck


Minimum CRPS vs. maximum likelihood

In a new paper in Monthly Weather Review, minimum CRPS and maximum likelihood estimation are compared for fitting heteroscedastic (or nonhomogenous) regression models under different response distributions. Minimum CRPS is more robust to distributional misspecification while maximum likelihood is slightly more efficient under correct specification. An R implementation is available in the crch package. Read more ›

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12:45, restate my assumptions:
  1. Mathematics is the language of nature.
  2. Everything around us can be represented and understood through numbers
  3. If you graph these numbers, patterns emerge.
Therefore: There are patterns everywhere in nature.
Pi (1998)