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 |
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Maintainer | |
License | MIT + file LICENSE |
Version | 1.3.5 |
URL | https://github.com/mrbcuda/pbo |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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