PointFore

Interpretation of Point Forecasts as State-Dependent Quantiles and Expectiles

CRAN Package

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, ) and GDP growth Greenbook data by the US Federal Reserve. See Schmidt, Katzfuss and Gneiting (2015) for more details on the identification and estimation of a directive behind a point forecast.

  • Version0.2.0
  • R version≥ 3.2.0
  • LicenseCC0
  • Needs compilation?No
  • Languageen-US
  • Last release02/22/2019

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  • Depends1 package
  • Imports8 packages
  • Suggests4 packages