pbo: Probability of Backtest Overfitting
Version 1.3.4

Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.

Package details

AuthorMatt Barry <mrb@softisms.com>
Date of publication2014-05-31 01:49:51
MaintainerMatt Barry <mrb@softisms.com>
LicenseMIT + file LICENSE
URL https://github.com/mrbcuda/pbo
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the pbo package in your browser

Any scripts or data that you put into this service are public.

pbo documentation built on May 29, 2017, 8:41 p.m.