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scoringRules (version 0.9.3)

Scoring Rules for Parametric and Simulated Distribution Forecasts

Description

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.

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Install

install.packages('scoringRules')

Monthly Downloads

6,266

Version

0.9.3

License

GPL (>= 2)

Issues

1

Pull Requests

0

Stars

64

Forks

17

Maintainer

Fabian Krueger

Last Published

August 10th, 2017

Functions in scoringRules (0.9.3)

logs.numeric

Logarithmic Score for Parametric Forecast Distributions
plot.casestudy

Plot the output of run_casestudy
plot.mcstudy

Plot the output of run_mcstudy
run_casestudy

Run the case study in KLTG (2016), or a smaller version thereof
crps.numeric

Continuous Ranked Probability Score for Parametric Forecast Distributions
GDP data

Data and forecasts for US GDP growth
Supplementary distributions: Variable support

Supplementary distributions (not in base R) with variable support.
ar_ms

Bayesian analysis of a Markov Switching autoregressive model
Supplementary distributions: Positive real line

Supplementary distributions (not in base R) supported on the positive real line.
Supplementary distributions: Real line

Supplementary distributions (not in base R) supported on the real line.
scores_gamma

Calculating scores for the gamma distribution
scores_gev

Calculating scores for the generalized extreme value distribution
scores_lnorm

Calculating scores for the log-normal distribution
scores_logis

Calculating scores for the logistic distribution
scores_gpd

Calculating scores for the generalized Pareto distribution
scores_lapl

Calculating scores for the Laplace distribution
scores_norm

Calculating scores for the normal distribution
scores_pois

Calculating scores for the Poisson distribution
scores_beta

Calculating scores for the beta distribution
scores_exp

Calculating scores for the exponential distribution
scores_mixnorm

Calculating scores for a mixture of normal distributions.
scores_nbinom

Calculating scores for the negative binomial distribution
scores_2pexp

Calculating scores for the two-piece-exponential distribution
scores_2pnorm

Calculating scores for the two-piece-normal distribution
scores_sample_univ

Scoring Rules for Simulated Forecast Distributions
scores_t

Calculating scores for Student's \(t\)-distribution
scores_unif

Calculating scores for the uniform distribution
run_mcstudy

Run the Monte Carlo study by KLTG (2016), or a smaller version thereof
scores

Generic Scoring Rule Calculation
scores_llapl

Calculating scores for the log-Laplace distribution
scores_llogis

Calculating scores for the log-logistic distribution
scores_sample_multiv

Multivariate Scoring Rules for Simulated Forecast Distributions