backtest_all: Exact UC/IND/CC back‑tests in one call
In ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing
backtest_all R Documentation
Exact UC/IND/CC back‑tests in one call
Description
Exact UC/IND/CC back‑tests in one call
Usage
backtest_all(x, alpha = 0.05, sig = 0.05, prune_threshold = 1e-15)
Arguments
x
0/1 exception series.
alpha
Exception probability.
sig
Significance level (default 0.05).
prune_threshold
Passed to the dynamic programming engine.
Value
An object of class "ExactVaRBacktestAll" (a named list) with components:
uc, ind, cc (each a list with stat, pval, reject),
and scalars sig (significance level), alpha (model exception probability),
n (sample size).
Examples
set.seed(1)
x <- rbinom(300, 1, 0.02)
backtest_all(x, alpha = 0.02)
ExactVaRTest documentation built on Aug. 23, 2025, 1:11 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| backtest_all | R Documentation |
Exact UC/IND/CC back‑tests in one call
Description
Exact UC/IND/CC back‑tests in one call
Usage
backtest_all(x, alpha = 0.05, sig = 0.05, prune_threshold = 1e-15)
Arguments
x |
0/1 exception series. |
alpha |
Exception probability. |
sig |
Significance level (default |
prune_threshold |
Passed to the dynamic programming engine. |
Value
An object of class "ExactVaRBacktestAll" (a named list) with components:
uc, ind, cc (each a list with stat, pval, reject),
and scalars sig (significance level), alpha (model exception probability),
n (sample size).
Examples
set.seed(1)
x <- rbinom(300, 1, 0.02)
backtest_all(x, alpha = 0.02)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.