Code

R package bvarsv, providing an R/C++ implementation of the Primiceri (REStud, 2005) vector autoregressive model with time-varying parameters and stochastic volatility. Available on CRAN.

• Vignette demonstrating the package's main functions
• Replication of figures in Del Negro and Primiceri (REStud, 2015)

R package murphydiagram, accompanying the paper by Ehm, Gneiting, Jordan and Krüger (2016). Available on CRAN.

• Overview of materials
• Programs to construct forecast/realization data sets in package

R package scoringRules for evaluating parameteric and simulation based forecast distributions. Available on CRAN.

• Paper on the package: Jordan, Krüger and Lerch (2018)
• Details on simulation based forecast distributions: Krüger, Lerch, Thorarinsdottir and Gneiting (2017)

My GitHub repository is located at https://github.com/FK83/.