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 25 Jun. 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

foster  
Forest Structure Extrapolation with R
Set of tools to streamline the modeling of the relationship betweensatellite imagery time series or ...
Download / Learn more Package Citations See dependency  
edeaR  
Exploratory and Descriptive Event-Based Data Analysis
Exploratory and descriptive analysis of event based data. Provides methods for describing and select ...
Download / Learn more Package Citations See dependency  
sitmo  
Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files
Provided within are two high quality and fast PPRNGs that may be used in an 'OpenMP' parallel enviro ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
airGRiwrm  
'airGR' Integrated Water Resource Management
Semi-distributed Precipitation-Runoff Modelling based on 'airGR' package models integrating human i ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

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