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: | 1.3.5 |
| Depends: | R (≥ 4.0.0) |
| Imports: | utils (≥ 4.1.2), lattice (≥ 0.20.45), latticeExtra (≥ 0.6.29), foreach (≥ 1.5.2) |
| Suggests: | PerformanceAnalytics, grid, testthat, doParallel, parallel, knitr, spelling |
| Published: | 2022-05-26 |
| DOI: | 10.32614/CRAN.package.pbo |
| Author: | Matt Barry [aut, cre] |
| 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 |
| Language: | en-US |
| Materials: | README, NEWS |
| In views: | Finance |
| CRAN checks: | pbo results |
| Reference manual: | pbo.html , pbo.pdf |
| Vignettes: |
Using the PBO package (source, R code) |
| Package source: | pbo_1.3.5.tar.gz |
| Windows binaries: | r-devel: pbo_1.3.5.zip, r-release: pbo_1.3.5.zip, r-oldrel: pbo_1.3.5.zip |
| macOS binaries: | r-release (arm64): pbo_1.3.5.tgz, r-oldrel (arm64): pbo_1.3.5.tgz, r-release (x86_64): pbo_1.3.5.tgz, r-oldrel (x86_64): pbo_1.3.5.tgz |
| Old sources: | pbo archive |
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