EVALuating Real-Time Probablistic Forecast

Chi-Kuang Yeh, Gregory Rice and Joel A. Dubin

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Description

We develop methods to quantify the difference between two sets of probabilistic forecasts in square normed space, along with the graphical representations.

Installation

Currently evalRTPF is only available in R. We plan to develop Python, Julia and/or Matlab versions in the future.

devtools::install_github("chikuang/evalRTPF")

Examples

Will be added soon.

Reference

1. Evaluating real-time probabilistic forecasts with application to National Basketball Association outcome prediction