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jbrowell / ProbCast

ProbCast: an R Package for Flexible Probabilistic Forecasting
MIT License
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Flexible tails in PIT #1

Closed jbrowell closed 4 years ago

jbrowell commented 5 years ago

To date tails have been limited to [0,1] or fixed user specified max/min.

New functionality:

  1. Relative to p50 (allready in multi-qr-mboost branch)
  2. Function of p50/covariate
  3. User supplied vector of max/min values
  4. Extreme value theory (may need additional functions) - Generalised Pareto Distribution?
ciaran-g commented 5 years ago

started new branch to work on modifying tail "thickness" parameter

jbrowell commented 4 years ago

Lots more tails added so closing this issue for now.