scoringRules - Scoring Rules for Parametric and Simulated Distribution Forecasts
Dictionary-like reference for computing scoring rules in a wide range of situations. Covers both parametric forecast distributions (such as mixtures of Gaussians) and distributions generated via simulation. Further details can be found in the package vignettes <doi:10.18637/jss.v090.i12>, <doi:10.18637/jss.v110.i08>.
Last updated 2 months ago
11.35 score 59 stars 12 packages 376 scripts 3.9k downloadsbvarsv - Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.
Last updated 3 months ago
5.32 score 28 stars 1 packages 50 scripts 516 downloadsmurphydiagram - Murphy Diagrams for Forecast Comparisons
Data and code for the paper by Ehm, Gneiting, Jordan and Krueger ('Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings', JRSS-B, 2016 <DOI:10.1111/rssb.12154>).
Last updated 5 years ago
3.18 score 3 stars 10 scripts 147 downloads