README.md
In ajmcneil/spectralBacktest: Spectral Backtests of Forecast Distributions
spectralBacktest
This is an R library by Michael B. Gordy and Alexander J. McNeil which implements the methodology described in the paper Spectral backtests of forecast distributions with application to risk management published in Journal of Banking and Finance 116, July 2020.
Paper download: JBF | Preprint on arXiv
To install:
devtools::install_github("ajmcneil/spectralBacktest")
To install with vignettes (SLOWER!):
devtools::install_github("ajmcneil/spectralBacktest", build_vignettes = TRUE)
ajmcneil/spectralBacktest documentation built on Dec. 31, 2022, 8:17 p.m.
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spectralBacktest
This is an R library by Michael B. Gordy and Alexander J. McNeil which implements the methodology described in the paper Spectral backtests of forecast distributions with application to risk management published in Journal of Banking and Finance 116, July 2020.
Paper download: JBF | Preprint on arXiv
To install:
devtools::install_github("ajmcneil/spectralBacktest")
To install with vignettes (SLOWER!):
devtools::install_github("ajmcneil/spectralBacktest", build_vignettes = TRUE)
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.
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