shiftMatrix

Integer specifying dimensions of the shift matrix.

Integer specifying the order of the shift matrix. Value <code>q = 1</code> (resp. <code>q = -1</code>) indicates the upper (resp. lower) shift matrix. Larger (resp. smaller) values represent higher powers of the respective shift matrices.

Internal function for creation of sparse shift matrix.

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>.

shiftMatrix: Construct shift matrix

Description

Usage

Arguments

Value