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.

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.

My GitHub repository is located at