Sequential Comparison of Probabilistic Forecasts

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Documentation for package ‘seqcomp’ version 0.1.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

seqcomp-package	seqcomp: Sequential Comparison of Probabilistic Forecasts
brier_score	Brier score for binary and categorical forecasts
calibrate_p_to_e	P-to-e calibrator
cm_boundary	Normal mixture (CM) boundary
compare_forecasts	Compare Two Sequential Forecasters
crps_empirical	Negated CRPS for empirical predictive distributions
crps_normal	Negated CRPS for normal predictive distributions
crps_std	Negated CRPS for Student-t predictive distributions
cs_asymptotic	Asymptotic confidence sequence (Appendix C, Eq. 55, Choe & Ramdas 2023)
cs_bernstein	Empirical Bernstein confidence sequence (Theorem 2, Choe & Ramdas 2023)
cs_hoeffding	Hoeffding-style confidence sequence (Theorem 1, Choe & Ramdas 2023)
eprocess	Sub-exponential mixture e-process (Theorem 3, Choe & Ramdas 2023)
eprocess_lag	Lag-h e-process for sequential forecast comparison (Propositions 5 & 6)
eprocess_predictable	Fixed-lambda e-process with predictable bounds (Proposition 7)
eprocess_rejections	Determine rejection times for an e-process output
ge_boundary	Gamma-exponential mixture boundary
log_score	Logarithmic score for binary and categorical forecasts
predictable_rejections	Summarise predictable bounds e-process
ps_boundary	Polynomial stitched (PS) boundary
qlike_score	Negated QLIKE score for variance forecasts
rho_from_vopt	Convert optimal intrinsic time to rho
score_bounds	Score difference bounds for a named scoring rule
score_diff_scales	Score difference bounds -> sub-Gaussian / sub-exponential scale
seqcomp	seqcomp: Sequential Comparison of Probabilistic Forecasts
spherical_score	Spherical score for binary and categorical forecasts
split_streams	Split a sequence into h interleaved lag streams
tick_loss	Negated tick loss for quantile forecasts
unroll_stream	Unroll a stream-wise quantity back to the original time scale
winkler_compare	Full Winkler comparison pipeline (Proposition 4)
winkler_cs	One-sided empirical Bernstein CS for Winkler scores (Proposition 4)
winkler_etest	E-process for Winkler scores (Proposition 4 + Theorem 3)
winkler_score	Winkler-normalized binary score