Package: RCtest 1.0

RCtest: Reality Check and Predictive Ability Tests for Forecast Evaluation

Implements a comprehensive suite of statistical tests for evaluating the accuracy of forecasting models against a benchmark. The package is grounded in the reality check framework of White (2000) <doi:10.1111/1468-0262.00152>, extended by Hansen (2005) <doi:10.1198/073500105000000063> for Superior Predictive Ability (SPA), 'Giacomini' & White (2006) <doi:10.1111/j.1468-0262.2006.00718.x> for Conditional Predictive Ability (CPA), and 'Corradi' & Swanson (2006) <doi:10.1016/j.jeconom.2005.07.026> for predictive density evaluation via the 'Kullback'-'Leibler' Information Criterion ('KLIC') and 'ZP' Quantile Loss test, the Continuous Ranked Probability Score ('CRPS') ('Gneiting' & 'Raftery', 2007) <doi:10.1198/016214506000001437>, coverage tests ('Kupiec', 1995) <doi:10.3905/jod.1995.407942>, 'HAC' covariance estimation ('Newey' & West, 1987) <doi:10.2307/1913610>, and Moving Block Bootstrap resampling ('Kunsch', 1989) <doi:10.1214/aos/1176347265>.

Authors:Joanna Jedrzejewska [aut, cre], Krzysztof Drachal [ctb]

RCtest_1.0.tar.gz
RCtest_1.0.zip(r-4.7)RCtest_1.0.zip(r-4.6)RCtest_1.0.zip(r-4.5)
RCtest_1.0.tgz(r-4.6-any)RCtest_1.0.tgz(r-4.5-any)
RCtest_1.0.tar.gz(r-4.7-any)RCtest_1.0.tar.gz(r-4.6-any)
RCtest_1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
RCtest/json (API)
NEWS

# Install 'RCtest' in R:

install.packages('RCtest', repos = c('https://joannajedrzejewska.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/joannajedrzejewska/rctest/issues

Datasets:

metals - Forecasts of Base Metals Prices

On CRAN:

2.70 score 137 downloads 21 exports 20 dependencies

Last updated from:a9cea38580. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	121
source / vignettes	OK	163
linux-release-x86_64	OK	118
macos-release-arm64	OK	125
macos-oldrel-arm64	OK	92
windows-devel	OK	115
windows-release	OK	250
windows-oldrel	OK	86
wasm-release	OK	115

Exports:compute_crps compute_klic compute_kupiec compute_per_model_statistics compute_zp create_unified_summary estimate_forecast_variance estimate_long_run_covariance extract_and_flatten_results_aggregated generate_comprehensive_report kullback_leibler_test mbb_resample_data plot_cumulative_loss plot_density_forecast plot_performance_metrics reality_check_zp_test run_comprehensive_erc_analysis superior_predictive_ability_test white_reality_check white_reality_check_cdf_approx white_reality_check_conditional

Dependencies:cli cpp11 farver ggplot2 ggrepel glue gridExtra gtable isoband labeling lifecycle R6 RColorBrewer Rcpp rlang S7 scales vctrs viridisLite withr

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Compute Continuous Ranked Probability Score (CRPS)	compute_crps
Compute Kullback-Leibler Information Criterion (KLIC) Negative Log-Likelihood Scores	compute_klic
Value-at-Risk (VaR) Unconditional Coverage Test (Kupiec)	compute_kupiec
Per-Model Diebold-Mariano Test (HAC + MBB Bootstrap)	compute_per_model_statistics
Compute ZP Quantile Loss	compute_zp
Create Unified Summary	create_unified_summary
Estimate Forecast Variance via Rolling Window	estimate_forecast_variance
Long-Run Covariance Estimator via Bartlett Kernel (HAC)	estimate_long_run_covariance
Flatten Results for Export	extract_and_flatten_results_aggregated
Generate Comprehensive Markdown Report	generate_comprehensive_report
Kullback-Leibler Information Criterion (KLIC) Test	kullback_leibler_test
Moving Block Bootstrap (MBB) Resampler	mbb_resample_data
Forecasts of Base Metals Prices	metals
Plot Cumulative Loss Differences	plot_cumulative_loss
Plot Density Forecast	plot_density_forecast
Plot Performance Metrics Comparison	plot_performance_metrics
ZP Quantile Loss Reality Check Test	reality_check_zp_test
Run Comprehensive Forecast Evaluation Analysis	run_comprehensive_erc_analysis
Superior Predictive Ability (SPA) Test	superior_predictive_ability_test
White's Reality Check (WRC)	white_reality_check
White's Reality Check via Expected Loss CDF Comparison (CDF-RC)	white_reality_check_cdf_approx
Conditional Predictive Ability (CPA) Reality Check Test	white_reality_check_conditional