PointFore (0.2.0)

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Interpretation of Point Forecasts as State-Dependent Quantiles and Expectiles.

http://cran.r-project.org/web/packages/PointFore

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.

Maintainer: Patrick Schmidt
Author(s): Patrick Schmidt [aut, cre]

License: CC0

Uses: boot, car, ggplot2, gmm, lubridate, MASS, sandwich, testthat, knitr, rmarkdown, spelling

Released 10 months ago.


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