fdtest: Randomization test
In FK83/fdtest: Randomization test for forecast dominance

Description Usage Arguments Details

Randomization test for forecast dominance

1 2	fdtest(fc, functional = "expectile", alpha = 0.5, np = 1000, test_functional = "sqpos")

`fc`	matrix with forecasts (first two cols) and realization (third col)
`functional`	either "expectile" or "quantile"
`alpha`	level of the expectile or quantile
`np`	nr of randomization draws
`test_functional`	test statistic to be used, either "sqpos" or "abspos"

Note: The test's H0 is that forecast 1 weakly dominates forecast 2. Hence, low p-values indicate that forecast 1 is not dominant. This can mean that either i) forecast 2 is dominant or that ii) none of the forecasts dominates the other.

FK83/fdtest documentation built on May 9, 2019, 2:23 p.m.