pEPA - Tests of Equal Predictive Accuracy for Panels of Forecasts
Allows to perform the tests of equal predictive accuracy for panels of forecasts. Main references: Qu et al. (2024) <doi:10.1016/j.ijforecast.2023.08.001> and Akgun et al. (2024) <doi:10.1016/j.ijforecast.2023.02.001>.
Last updated 2 months ago
1 stars 0.75 score 0 dependenciesdynmix - Estimation of Dynamic Finite Mixtures
Allows to perform the dynamic mixture estimation with state-space components and normal regression components, and clustering with normal mixture. Quasi-Bayesian estimation, as well as, that based on the Kerridge inaccuracy approximation are implemented. Main references: Nagy and Suzdaleva (2013) <doi:10.1016/j.apm.2013.05.038>; Nagy et al. (2011) <doi:10.1002/acs.1239>.
Last updated 1 years ago
0.63 score 5 dependenciesmultDM - 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>.
Last updated 2 years ago
1 stars 0.09 score 19 dependencies