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Full distribution Forecasting and evaluation

Published on the July 07, 2021 in IT & Programming

About this project

Open

Requirements: Solid knowledge of time series and programming in R.

For a set of 10 pre specified models compute a:
- Recursive out of sample testing for different forecast horizons
- Comparison of RMSE, CRPS, Energy Scores and other metrics

-All models are based on full distributions (n simulations of each model to create a joint distribution)

Forecasting models involve-> VAR, VARX, BVAR, VARMA, TVP-VAR, Dynamic Factor Models, etc

Category IT & Programming
Subcategory Data Science
Project size Medium
Is this a project or a position? Project
Required availability As needed

Delivery term: Not specified

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