Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.

Documentation

Manual: pbo.pdf
Vignette: Using the PBO package

Maintainer: Matt Barry <mrb at softisms.com>

Author(s): Matt Barry <mrb at softisms.com>

Install package and any missing dependencies by running this line in your R console:

install.packages("pbo")

Depends utils, lattice
Imports
Suggests PerformanceAnalytics, foreach, grid, latticeExtra, testthat, doParallel, knitr
Enhances
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Package pbo
Materials
URL https://github.com/mrbcuda/pbo
Task Views Finance
Version 1.3.4
Published 2014-05-31
License MIT + file LICENSE
BugReports https://github.com/mrbcuda/pbo/issues
SystemRequirements
NeedsCompilation no
Citation
CRAN checks pbo check results
Package source pbo_1.3.4.tar.gz