| Name : R-ForeComp
| |
| Version : 0.9.0
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp155.2.1
| Date : 2024-06-20 21:33:53
|
| Group : Development/Libraries/Other
| Source RPM : R-ForeComp-0.9.0-lp155.2.1.src.rpm
|
| Size : 0.09 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : Size-Power Tradeoff Visualization for Equal Predictive Ability of Two Forecasts
|
Description :
Offers a set of tools for visualizing and analyzing size and power
properties of the test for equal predictive accuracy, the
Diebold-Mariano test that is based on heteroskedasticity and
autocorrelation-robust (HAR) inference. A typical HAR inference is
involved with non-parametric estimation of the long-run variance, and
one of its tuning parameters, the truncation parameter, trades off a
size and power. Lazarus, Lewis, and Stock (2021)< doi:10.3982/ECTA15404>
theoretically characterize the size-power frontier for the Gaussian
multivariate location model. \'ForeComp\' computes and visualizes the
finite-sample size-power frontier of the Diebold-Mariano test based on
fixed-b asymptotics together with the Bartlett kernel. To compute the
finite-sample size and power, it works with the best approximating ARMA
process to the given dataset. It informs the user how their choice of
the truncation parameter performs and how robust the testing outcomes
are.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.5/x86_64 |
