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PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions

Author

Listed:
  • Arkadiusz Lipiecki
  • Rafal Weron

Abstract

Postprocessing of point predictions is a relatively simple and efficient way to compute probabilistic forecasts, which are the basis of uncertainty assessment for decision support and risk management. The PostForecasts.jl package in Julia provides types and functions to easily convert point forecasts into probabilistic ones using Historical Simulation, Conformal Prediction, Isotonic Distributional Regression, and variants of Quantile Regression Averaging. By leveraging the developments in the point forecasting literature, it offers a set of easy-to-use, computationally undemanding, and robust tools to derive predictive distributions.

Suggested Citation

  • Arkadiusz Lipiecki & Rafal Weron, 2025. "PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions," WORking papers in Management Science (WORMS) WORMS/25/02, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
    • Handle: RePEc:ahh:wpaper:worms2502
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    File URL: https://worms.pwr.edu.pl/RePEc/ahh/wpaper/WORMS_25_02.pdf
    File Function: Original version, 28.02.2025
    Download Restriction: no
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    More about this item

    Keywords

    Probabilistic forecasting; Postprocessing; Combining forecasts; Uncertainty quantification;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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