Reality Check and Predictive Ability Tests for Forecast
Evaluation
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Documentation for package ‘RCtest’ version 1.0
Help Pages
| compute_crps | Compute Continuous Ranked Probability Score (CRPS) |
| compute_klic | Compute Kullback-Leibler Information Criterion (KLIC) Negative Log-Likelihood Scores |
| compute_kupiec | Value-at-Risk (VaR) Unconditional Coverage Test (Kupiec) |
| compute_per_model_statistics | Per-Model Diebold-Mariano Test (HAC + MBB Bootstrap) |
| compute_zp | Compute ZP Quantile Loss |
| create_unified_summary | Create Unified Summary |
| estimate_forecast_variance | Estimate Forecast Variance via Rolling Window |
| estimate_long_run_covariance | Long-Run Covariance Estimator via Bartlett Kernel (HAC) |
| extract_and_flatten_results_aggregated | Flatten Results for Export |
| generate_comprehensive_report | Generate Comprehensive Markdown Report |
| kullback_leibler_test | Kullback-Leibler Information Criterion (KLIC) Test |
| mbb_resample_data | Moving Block Bootstrap (MBB) Resampler |
| metals | Forecasts of Base Metals Prices |
| plot_cumulative_loss | Plot Cumulative Loss Differences |
| plot_density_forecast | Plot Density Forecast |
| plot_performance_metrics | Plot Performance Metrics Comparison |
| reality_check_zp_test | ZP Quantile Loss Reality Check Test |
| run_comprehensive_erc_analysis | Run Comprehensive Forecast Evaluation Analysis |
| superior_predictive_ability_test | Superior Predictive Ability (SPA) Test |
| white_reality_check | White's Reality Check (WRC) |
| white_reality_check_cdf_approx | White's Reality Check via Expected Loss CDF Comparison (CDF-RC) |
| white_reality_check_conditional | Conditional Predictive Ability (CPA) Reality Check Test |