Package index
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compare_forecasts() - Compare Two Sequential Forecasters
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smcs_compare() - Compare Multiple Sequential Forecasters (SMCS)
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smcs_strong() - Sequential Model Confidence Set (Strong & Uniformly Weak Null)
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smcs_weak() - Sequential Model Confidence Set (Weak Null)
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vovk_wang_merge() - Arithmetic-mean closed-testing e-value merge
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cs_hoeffding() - Hoeffding-style confidence sequence (Theorem 1, Choe & Ramdas 2024)
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cs_bernstein() - Empirical Bernstein confidence sequence (Theorem 2, Choe & Ramdas 2024)
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cs_asymptotic() - Asymptotic confidence sequence (EC.3, Eq. EC.29, Choe & Ramdas 2024)
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eprocess() - Sub-exponential mixture e-process (Theorem 3, Choe & Ramdas 2024)
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eprocess_betting() - Betting-style e-process for the strong null hypothesis
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eprocess_lag() - Lag-h e-process for sequential forecast comparison (Propositions 5 & 6)
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eprocess_predictable() - Fixed-lambda e-process with predictable bounds (Proposition EC.7)
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eprocess_rejections() - Determine rejection times for an e-process output
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predictable_rejections() - Summarise predictable bounds e-process
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build_quantile_betting_arrays() - Build 3D Parameter Arrays for Quantile Betting
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build_agrapa_betting_array() - Build 3D Parameter Array for aGRAPA Betting
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build_ons_betting_array() - Build 3D Parameter Array for ONS-m Betting
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lambda_betting_quantile() - Adaptive betting fraction for quantile-forecast strong-null tests
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lambda_betting_agrapa() - Approximate GRAPA (aGRAPA) betting fractions for a constant bound
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lambda_betting_ons() - Online Newton Step (ONS-m) betting fractions for a constant bound
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brier_score() - Brier score for binary and categorical forecasts
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log_score() - Logarithmic score for binary and categorical forecasts
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spherical_score() - Spherical score for binary and categorical forecasts
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winkler_score() - Winkler-normalized binary score
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crps_empirical() - Negated CRPS for empirical predictive distributions
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crps_normal() - Negated CRPS for normal predictive distributions
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crps_std() - Negated CRPS for Student-t predictive distributions
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tick_loss() - Negated tick loss for quantile forecasts
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qlike_score() - Negated QLIKE score for variance forecasts
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cm_boundary() - Normal mixture (CM) boundary
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ge_boundary() - Gamma-exponential mixture boundary
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ps_boundary() - Polynomial stitched (PS) boundary
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rho_from_vopt() - Convert optimal intrinsic time to rho
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winkler_compare() - Full Winkler comparison pipeline (Proposition EC.4)
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winkler_cs() - One-sided empirical Bernstein CS for Winkler scores (Proposition EC.4)
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winkler_etest() - E-process for Winkler scores (Proposition EC.4 + Theorem 3)
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score_bounds() - Score difference bounds for a named scoring rule
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score_diff_scales() - Score difference bounds -> sub-Gaussian / sub-exponential scale
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split_streams() - Split a sequence into h interleaved lag streams
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unroll_stream() - Unroll a stream-wise quantity back to the original time scale
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calibrate_p_to_e() - P-to-e calibrator
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seqcomp-packageseqcomp - seqcomp: Sequential Comparison of Probabilistic Forecasts