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>.
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openblascpp
12.29 score 68 stars 19 dependents 902 scripts 19k 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.
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openblascpp
5.56 score 32 stars 1 dependents 76 scripts 638 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>).
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3.52 score 3 stars 22 scripts 203 downloads