multDM: Multivariate Version of the Diebold-Mariano Test
Version 1.0

Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) .

Getting started

Package details

AuthorKrzysztof Drachal [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland)
Date of publication2018-05-18 14:04:45 UTC
MaintainerKrzysztof Drachal <[email protected]>
Package repositoryView on CRAN
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multDM documentation built on May 18, 2018, 5:04 p.m.