View source: R/backtest_functions.R
cc_backtest | R Documentation |
The simple and general conditional calibration backtests of Nolde & Ziegel (2007).
cc_backtest(r, q, e, s = NULL, alpha, hommel = TRUE)
r |
A vector of returns. |
q |
A vector of Value-at-Risk forecasts. |
e |
A vector of Expected Shortfall forecasts. |
s |
A vector of volatility forecasts. |
alpha |
Scalar probability level in (0, 1). |
hommel |
If TRUE, use Hommels correction, otherwise use the classical Bonferroni correction. |
Returns a list with the following components:
pvalue_twosided_simple
pvalue_onesided_simple
pvalue_twosided_general
pvalue_onesided_general
Nolde & Ziegel (2007) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/17-AOAS1041")}
data(risk_forecasts)
r <- risk_forecasts$r
q <- risk_forecasts$q
e <- risk_forecasts$e
s <- risk_forecasts$s
cc_backtest(r = r, q = q, e = e, s = s, alpha = 0.025)
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