estimateRho

Matrix of computed contrasts generated by <code>tsACV()</code>.

Parameter <code>rhoLimit</code> limits to the absolute value of the estimated <code>rho</code> coefficient. This is useful as estimated values very close to 1 might cause instability.

rhoLimit

Internal function for estimating the rho coefficient.

internal

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 is 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 Stanek (2021) <doi:10.2139/ssrn.3996166>.

estimateRho: Estimate `rho` coefficient

Description

Usage

Arguments

Value