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, <https://www.ecmwf.int/>) and GDP growth Greenbook data by the US Federal Reserve. See Schmidt, Katzfuss and Gneiting (2015) <arXiv:1506.01917> for more details on the identification and estimation of a directive behind a point forecast.
|Depends:||R (≥ 3.2.0)|
|Imports:||gmm, boot, car, ggplot2, MASS, stats, lubridate, sandwich|
|Suggests:||knitr, rmarkdown, testthat, spelling|
|Author:||Patrick Schmidt [aut, cre]|
|Maintainer:||Patrick Schmidt <pschmidte at gmail.com>|
|CRAN checks:||PointFore results|
Tutorial for PointFore
|Windows binaries:||r-devel: PointFore_0.2.0.zip, r-release: PointFore_0.2.0.zip, r-oldrel: PointFore_0.2.0.zip|
|macOS binaries:||r-release (arm64): PointFore_0.2.0.tgz, r-oldrel (arm64): PointFore_0.2.0.tgz, r-release (x86_64): PointFore_0.2.0.tgz, r-oldrel (x86_64): PointFore_0.2.0.tgz|
Please use the canonical form https://CRAN.R-project.org/package=PointFore to link to this page.