| PointFore {PointFore} | R Documentation |
PointFore: A package for estimating state-dependent quantile and expectile levels from a time series of point forecasts and observations
Description
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 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/). The package further contains quarterly GDP growth data with observations and forecasts from the Federal Reserve's Greenbook. Based on "Interpretation of Point Forecasts" by Patrick Schmidt, Matthias Katzfuss, and Tilmann Gneiting.
PointFore functions
The main function is estimate.functional. It returns an object which can be
analyzed with plot.pointfore and summary.pointfore.