Package: PointFore 0.2.1

Patrick Schmidt

PointFore: Interpretation of Point Forecasts as State-Dependent Quantiles and Expectiles

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) <doi:10.48550/arXiv.1506.01917> for more details on the identification and estimation of a directive behind a point forecast.

Authors:Patrick Schmidt [aut, cre]

PointFore_0.2.1.tar.gz
PointFore_0.2.1.tar.gz(r-4.7-any)PointFore_0.2.1.tar.gz(r-4.6-any)
PointFore_0.2.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
PointFore/json (API)

# Install 'PointFore' in R:
install.packages('PointFore', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • GDP - Real GDP realized values and one quarter ahead Greenbook forecasts
  • precipitation - Daily accumulated precipitation

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

3.59 score 26 scripts 210 downloads 10 exports 23 dependencies

Last updated from:a29654a83c. Checks:4 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK183
source / vignettesOK288
linux-release-x86_64OK211
wasm-releaseOK147

Exports:constantestimate.functionalexpectileslaglogistic_linearprobit_breakprobit_linearprobit_spline2probit_spline3quantiles

Dependencies:bootclicpp11farverggplot2gluegmmgtableisobandlabelinglatticelifecycleMASSR6RColorBrewerrlangS7sandwichscalesvctrsviridisLitewithrzoo

GDP Greenbook forecasts
Data | Analysis | Replication of the results in "Interpretation of Point Forecasts with Unknown Directive" by Schmidt, Katzfuss and Gneiting | Different information sets (instrumental vectors) | Different specification models | Different state variables
Rendered fromGDP.Rmdusingknitr::rmarkdown

Last update: 2026-07-21
Started: 2019-02-22

Precipitation forecasts
Data | Analysis
Rendered fromPrecipitation.Rmdusingknitr::rmarkdown

Last update: 2026-07-21
Started: 2019-02-22

Tutorial for PointFore
Introduction | Simulated Example | Generate data | Estimation of the functional | Plot results | Wald tests | Creating your own specification models | Applying non-standard instruments
Rendered fromTutorial.Rmdusingknitr::rmarkdown

Last update: 2019-02-22
Started: 2019-02-22