Brier Score

Install and import#

bash

npm install fintech-algorithms

import { brierScore } from "fintech-algorithms/model-validation-and-backtesting/classification-and-score-validation/brier-score";

Signature#

brierScore(inputs)

Worked example#

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input#

inputs

{
  "records": [
    {
      "id": "R01",
      "label": 1,
      "score": 0.95,
      "probability": 0.92,
      "weight": 1,
      "sector": "Banking",
      "country": "Egypt",
      "regime": "Expansion",
      "score_available_at": "2025-01-01T00:00:00Z",
      "label_available_at": "2026-01-01T00:00:00Z"
    },
    {
      "id": "R02",
      "label": 0,
      "score": 0.9,
      "probability": 0.88,
      "weight": 1,
      "sector": "Insurance",
      "country": "Egypt",
      "regime": "Expansion",
      "score_available_at": "2025-01-01T00:00:00Z",
      "label_available_at": "2026-01-01T00:00:00Z"
    },
    {
      "id": "R03",
      "label": 1,
      "score": 0.9,
      "probability": 0.84,
      "weight": 1,
      "sector": "Markets",
      "country": "Saudi Arabia",
      "regime": "Expansion",
      "score_available_at": "2025-01-01T00:00:00Z",
      "label_available_at": "2026-01-01T00:00:00Z"
    }
  ],
  "evaluation_cutoff": "2026-06-30T00:00:00Z"
}

Call#

brierScore(inputs)

Returns#

object with 7 fields: brier_score, event_rate, baseline_brier, brier_skill, weight_sum, record_count, state

{
  "brier_score": 0.24828333333333338,
  "event_rate": 0.4166666666666667,
  "baseline_brier": 0.24305555555555552,
  "brier_skill": -0.021508571428571654,
  "weight_sum": 24,
  "record_count": 24,
  "state": "probability-evaluated"
}

Other exports#

This module also exports rocCurveAndRocAuc, precisionRecallCurveAndPrAuc, logLoss, reliabilityDiagramAndExpectedCalibrationError, gainsLiftAndDecileCapture, costSensitiveThresholdOptimization, scoreStabilityAndMigrationMatrix, sliceBasedValidationBySectorCountryAndRegime, rareEventBacktestAndConfidenceBounds, calculate. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.