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.
| Version: | 1.3.4 |
| Depends: | utils, lattice |
| Suggests: | PerformanceAnalytics, foreach, grid, latticeExtra, testthat, doParallel, knitr |
| Published: | 2014-05-31 |
| Author: | Matt Barry |
| Maintainer: | Matt Barry <mrb at softisms.com> |
| BugReports: | https://github.com/mrbcuda/pbo/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/mrbcuda/pbo |
| NeedsCompilation: | no |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | pbo results |
| Reference manual: | pbo.pdf |
| Vignettes: |
Using the PBO package |
| Package source: | pbo_1.3.4.tar.gz |
| Windows binaries: | r-devel: pbo_1.3.4.zip, r-release: pbo_1.3.4.zip, r-oldrel: pbo_1.3.4.zip |
| macOS binaries: | r-release (arm64): pbo_1.3.4.tgz, r-oldrel (arm64): pbo_1.3.4.tgz, r-release (x86_64): pbo_1.3.4.tgz, r-oldrel (x86_64): pbo_1.3.4.tgz |
Please use the canonical form https://CRAN.R-project.org/package=pbo to link to this page.