Optimal Out-of-Sample Forecast Evaluation and Testing under Stationarity.
ACV – package for optimal out-of-sample forecast evaluation and testing under stationarity
Package ACV (short for Affine Cross-Validation) offers an improved time-series cross-validation loss estimator which utilizes both in-sample and out-of-sample forecasting performance via a carefully constructed affine weighting scheme. Under the assumption of stationarity, the estimator can be shown to be the best linear unbiased estimator of the out-of-sample loss. Besides that, the package also offers improved versions of Diebold-Mariano and Ibragimov-Muller tests of equal predictive ability which deliver more power relative to their conventional counterparts. For more information, see the accompanying article “Optimal Out-of-Sample Forecast Evaluation Under Stationarity” by Filip Staněk.