Feature Request: Add crps method to tfp.distributions

[kaijennissen]

Hi,

first of all I'd like to thank you for the great work. I have a feature request for a new method which implements the 'continuous ranked probability score' for all distributions (for which it is possible, see f.e. Evaluating Probabilistic Forecasts with scoringRules). This method would enable the use of the CRPS as loss function in the same way as the negative log likelihood is used. (f.e. crps_loss_fn = lambda y, p_y : p_y.crps(y) )

Kind Regards

[allenwind]

here's a example https://github.com/blei-lab/edward/pull/922