You can install the released version from CRAN via:
The latest version of the package is under development at GitHub. You can install the development version using these commands:
install.packages("devtools") devtools::install_github("BayerSe/esback", ref = "master")
This package implements the following backtests:
# Load the esback package library(esback) # Load the data data(risk_forecasts) # Plot the returns and expected shortfall forecasts plot(risk_forecasts$r, xlab = "Observation Number", ylab = "Return and ES forecasts") lines(risk_forecasts$e, col = "red", lwd = 2) # Backtest the forecast using the ESR test esr_backtest(r = risk_forecasts$r, e = risk_forecasts$e, alpha = 0.025, version = 1)
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.