1 code implementation • 6 Feb 2023 • Jack Fosten, Daniel Gutknecht, Marc-Oliver Pohle
Quantile forecasts made across multiple horizons have become an important output of many financial institutions, central banks and international organisations.
1 code implementation • 29 Nov 2022 • Malte Knüppel, Fabian Krüger, Marc-Oliver Pohle
Calibration tests based on the probability integral transform (PIT) are routinely used to assess the quality of univariate distributional forecasts.