How can i evaluate prediction interval with interval coverage probability (PICP) for probabilistic forecasting?
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I am trying to use Gaussian Process Regression Models https://au.mathworks.com/help/stats/gaussian-process-regression-models.html
And I would like to use prediction interval assessment: the prediction interval coverage probability (PICP) and the mean prediction interval width (MPIW). PICP measures the reliability of the predictions and shows the percentage of the real values that will be covered by the upper and lower bounds using the attached formula?
Thanks in advance