The R package spectralBacktest implements a class of backtests introduced by Michael Gordy and Alexander McNeil in the paper ``Spectral backtests of forecast distributions with application to risk management'' (arXiv:1708.01489).
The package provides code for all the kernel functions implemented in our empirical exercises, including the multinomial Pearson kernel, the beta kernel, and the truncated probitnormal score kernel. For the tests of conditional coverage, the package provides the four conditioning variable transformations (CVT) that were used.
The package is designed with two objectives in mind:
Download version 0.1.6 (39K).Michael B Gordy