Package: multDM 1.1.4

multDM: Multivariate Version of the Diebold-Mariano Test

Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) <doi:10.1016/j.jeconom.2012.01.014>.

Authors:Krzysztof Drachal [aut, cre]

multDM_1.1.4.tar.gz
multDM_1.1.4.zip(r-4.5)multDM_1.1.4.zip(r-4.4)multDM_1.1.4.zip(r-4.3)
multDM_1.1.4.tgz(r-4.4-any)multDM_1.1.4.tgz(r-4.3-any)
multDM_1.1.4.tar.gz(r-4.5-noble)multDM_1.1.4.tar.gz(r-4.4-noble)
multDM_1.1.4.tgz(r-4.4-emscripten)multDM_1.1.4.tgz(r-4.3-emscripten)
multDM.pdf |multDM.html✨
multDM/json (API)
NEWS

# Install 'multDM' in R:
install.packages('multDM', repos = c('https://kdrachal.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.45 score 1 stars 28 scripts 302 downloads 7 exports 19 dependencies

Last updated 2 years agofrom:e87f4bd921. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 16 2024
R-4.5-winOKNov 16 2024
R-4.5-linuxOKNov 16 2024
R-4.4-winOKNov 16 2024
R-4.4-macOKNov 16 2024
R-4.3-winOKNov 16 2024
R-4.3-macOKNov 16 2024

Exports:d_tDM.testlossMDM.selectionMDM.testTB_AR_testTB_MA

Dependencies:cvarfastICAfBasicsfGarchgbutilsgsslatticeMASSMatrixMTSmvtnormrbibutilsRcppRcppEigenRdpackspatialstabledisttimeDatetimeSeries