In chikuang/evalRTPF: Evaluate the discrepancy between two Real-Time updated Probabilistic Forecasts

Description

We develop methods to quantify the difference between two sets of probabilistic forecasts in square normed space, along with the graphical representations.

Installation

Currently evalRTPF is only available in R. We plan to develop Python, Julia and/or Matlab versions in the future.

devtools::install_github("chikuang/evalRTPF")

Examples

Will be added soon.

TODO

• [ ] Add examples with graphical illustrations
• [ ] Add detailed descriptions
• [ ] Speed-up with RCPP components
• [ ] Upload to CRAN

Reference

• Yeh, C.-K., Rice, G. & Dubin, J.A. (2022). Evaluating real-time probabilistic forecasts with application to National Basketball Association outcome prediction, The American Statistician, 62, 75-92.

chikuang/evalRTPF documentation built on May 18, 2024, 8:19 a.m.