Probabilistic Time Series Cross-Validation in R

Thierry Moudiki checks an interval:

A previous post introduced the crossvalidation package for R. This time, the focus is on probabilistic forecasting — evaluating not just how accurate point forecasts are, but how well-calibrated prediction intervals are, using empirical coverage rates and Winkler scores – and crossvalidation.

Click through for the code and not much additional commentary. H/T R-Bloggers.