Sequential Comparison of Probabilistic Forecasts
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Documentation for package ‘seqcomp’ version 0.3.0
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| seqcomp-package | seqcomp: Sequential Comparison of Probabilistic Forecasts |
| brier_score | Brier score for binary and categorical forecasts |
| build_agrapa_betting_array | Build 3D Parameter Array for aGRAPA Betting |
| build_ons_betting_array | Build 3D Parameter Array for ONS-m Betting |
| build_quantile_betting_arrays | Build 3D Parameter Arrays for Quantile Betting |
| 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 (EC.3, Eq. EC.29, Choe & Ramdas 2024) |
| cs_bernstein | Empirical Bernstein confidence sequence (Theorem 2, Choe & Ramdas 2024) |
| cs_hoeffding | Hoeffding-style confidence sequence (Theorem 1, Choe & Ramdas 2024) |
| eprocess | Sub-exponential mixture e-process (Theorem 3, Choe & Ramdas 2024) |
| eprocess_betting | Betting-style e-process for the strong null hypothesis |
| eprocess_lag | Lag-h e-process for sequential forecast comparison (Propositions 5 & 6) |
| eprocess_predictable | Fixed-lambda e-process with predictable bounds (Proposition EC.7) |
| eprocess_rejections | Determine rejection times for an e-process output |
| ge_boundary | Gamma-exponential mixture boundary |
| lambda_betting_agrapa | Approximate GRAPA (aGRAPA) betting fractions for a constant bound |
| lambda_betting_ons | Online Newton Step (ONS-m) betting fractions for a constant bound |
| lambda_betting_quantile | Adaptive betting fraction for quantile-forecast strong-null tests |
| 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 |
| smcs_compare | Compare Multiple Sequential Forecasters (SMCS) |
| smcs_strong | Sequential Model Confidence Set (Strong & Uniformly Weak Null) |
| smcs_weak | Sequential Model Confidence Set (Weak Null) |
| 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 |
| vovk_wang_merge | Arithmetic-mean closed-testing e-value merge |
| winkler_compare | Full Winkler comparison pipeline (Proposition EC.4) |
| winkler_cs | One-sided empirical Bernstein CS for Winkler scores (Proposition EC.4) |
| winkler_etest | E-process for Winkler scores (Proposition EC.4 + Theorem 3) |
| winkler_score | Winkler-normalized binary score |