Probability distribution constructed from predicted quantiles

Wraps a set of predicted quantiles into a proper distribution with:

• Monotonicity enforcement (fixes quantile crossing)

• Tail extrapolation (exponential or GPD) with data-inferred parameters

• Analytical statistics (CDF, PDF, CRPS, mean, variance)

Usage

QuantileDistribution(
  quantiles,
  alpha_levels = NULL,
  tail_type = "exp",
  fix_crossing = TRUE,
  crossing_method = "sort"
)

Arguments

quantiles

Tensor. Quantile values after monotonicity correction. Shape: (*batch_shape, num_quantiles).

alpha_levels

Numeric vector or NULL. Quantile levels.

tail_type

Character. "exp" or "gpd".

fix_crossing

Logical. Enforce monotonicity?

crossing_method

Character. Method for fixing crossing.