Other packages > Find by keyword >

ACV  

Optimal Out-of-Sample Forecast Evaluation and Testing under Stationarity
View on CRAN: Click here


Download and install ACV package within the R console
Install from CRAN:
install.packages("ACV")

Install from Github:
library("remotes")
install_github("cran/ACV")

Install by package version:
library("remotes")
install_version("ACV", "1.0.2")



Attach the package and use:
library("ACV")
Maintained by
Filip Stanek
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-04-05
Latest Update: 2022-04-05
Description:
Package 'ACV' (short for Affine Cross-Validation) offers an improved time-series cross-validation loss estimator which utilizes both in-sample and out-of-sample forecasting performance via a carefully constructed affine weighting scheme. Under the assumption of stationarity, the estimator is the best linear unbiased estimator of the out-of-sample loss. Besides that, the package also offers improved versions of Diebold-Mariano and Ibragimov-Muller tests of equal predictive ability which deliver more power relative to their conventional counterparts. For more information, see the accompanying article Stanek (2021) .
How to cite:
Filip Stanek (2022). ACV: Optimal Out-of-Sample Forecast Evaluation and Testing under Stationarity. R package version 1.0.2, https://cran.r-project.org/web/packages/ACV. Accessed 07 Oct. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited ACV R package
View ACV citation profile
Other R packages that ACV depends, imports, suggests or enhances
Complete documentation for ACV
Functions, R codes and Examples using the ACV R package
Some associated functions: estimateL . estimateLongRunVar . estimateRho . infoPhi . print.estimateL . print.testL . shiftMatrix . testL . tsACV . 
Some associated R codes: ShiftMatrix.R . estimateL.R . estimateLongRunVar.R . estimateRho.R . infoPhi.R . print.estimateL.R . print.testL.R . testL.R . tsACV.R .  Full ACV package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

plaqr  
Partially Linear Additive Quantile Regression
Estimation, prediction, thresholding, transformation, and plotting for partially linear additive qua ...
Download / Learn more Package Citations See dependency  
ggTimeSeries  
Time Series Visualisations Using the Grammar of Graphics
Provides additional display mediums for time series visualisations. ...
Download / Learn more Package Citations See dependency  
blandr  
Bland-Altman Method Comparison
Carries out Bland Altman analyses (also known as a Tukey mean-difference plot) as described by JM B ...
Download / Learn more Package Citations See dependency  
splm  
Econometric Models for Spatial Panel Data
ML and GM estimation and diagnostic testing of econometric models for spatial panel data. ...
Download / Learn more Package Citations See dependency  
PairedData  
Paired Data Analysis
Many datasets and a set of graphics (based on ggplot2), statistics, effect sizes and hypothesis test ...
Download / Learn more Package Citations See dependency  
skewlmm  
Scale Mixture of Skew-Normal Linear Mixed Models
It fits scale mixture of skew-normal linear mixed models using an expectation–maximization (EM) ty ...
Download / Learn more Package Citations See dependency  

28,905

R Packages

247,686

Dependencies

76,495

Author Associations

28,906

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA