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Add Ranked Probability Score (RPS) metric #7

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ElSaico opened this issue Jun 14, 2018 · 1 comment
Open

Add Ranked Probability Score (RPS) metric #7

ElSaico opened this issue Jun 14, 2018 · 1 comment
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enhancement New feature or request

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@ElSaico
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ElSaico commented Jun 14, 2018

As per Constantinou and Fenton (2012), this metric suits for win/draw/loss predictions quite well - in fact, it was used by the challenge behind a (still to be published offline) special issue of the Machine Learning journal.

@Torvaney Torvaney self-assigned this Jun 14, 2018
@Torvaney Torvaney added the enhancement New feature or request label Jun 14, 2018
@Torvaney
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Torvaney commented Jun 14, 2018

Hey! This is a good suggestion; thanks for opening it.

Adding model evaluation metrics generally seems like a really good idea. RPS is, as you point out, particularly nice for evaluating 1X2 predictions. Off the top of my head, this and log loss seems like the key ones. Maybe even a Kelly staked betting-related metric could be worth adding at some point?

It seems like (tidy?) model evaluation could be a good idea for an R package in itself. I should probably see if one already exists. Although even if something like that does already exist, it seems like it'd be a good idea to export in regista's namespace so that models + evaluation come together.

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