PointFore: Interpretation of Point Forecasts as State-Dependent Quantiles and Expectiles

Estimate specification models for the state-dependent level of an optimal quantile/expectile forecast. Wald Tests and the test of overidentifying restrictions are implemented. Plotting of the estimated specification model is possible. The package contains two data sets with forecasts and realizations: the daily accumulated precipitation at London, UK from the high-resolution model of the European Centre for Medium-Range Weather Forecasts (ECMWF, <https://www.ecmwf.int/>) and GDP growth Greenbook data by the US Federal Reserve. See Schmidt, Katzfuss and Gneiting (2015) <arXiv:1506.01917> for more details on the identification and estimation of a directive behind a point forecast.

Package details

AuthorPatrick Schmidt [aut, cre]
MaintainerPatrick Schmidt <pschmidte@gmail.com>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the PointFore package in your browser

Any scripts or data that you put into this service are public.

PointFore documentation built on May 2, 2019, 9:42 a.m.