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 09 Mar. 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

Rgb  
The R Genome Browser
Classes and methods to efficiently handle (slice, annotate, draw ...) genomic features (such as gene ...
Download / Learn more Package Citations See dependency  
ggblanket  
Simplify 'ggplot2' Visualisation
Simplify 'ggplot2' visualisation with 'ggblanket' wrapper functions. ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
rzentra  
Client for the 'ZENTRA Cloud' API
Provides functionality to read settings, statuses and readings of weather stations from the 'ZENTRA ...
Download / Learn more Package Citations See dependency  
pooling  
Fit Poolwise Regression Models
Functions for calculating power and fitting regression models in studies where a biomarker is measur ...
Download / Learn more Package Citations See dependency  

26,293

R Packages

225,784

Dependencies

70,376

Author Associations

26,294

Publication Badges

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