Description Usage Arguments Details Value Note Author(s) References See Also Examples
Performs the Diebold-Mariano test for equal predictive performance of two methods with respect to a scoring rule.
1 |
s1 |
Score from method 1. |
s2 |
Score from method 2. |
alternative |
A character string specifying the alternative hypothesis, must be one of 'two.sided' (default), 'greater' or 'less'. |
h |
An integer specifying the smallest lag not used in the autocovariance function. |
The null hypothesis is that the difference s1 - s2
has zero mean.
The alternative 'less'
is that s1 - s2
has negative mean.
The test statistic requires values of the autocovariance function
of s1 - s2
with lags smaller than h
, i.e.
lag.max = h - 1
(the truncation lag)
in acf
.
The difference s1 - s2
may contain missing values,
in which case complete cases are used and a warning is given.
A object of class 'htest'
.
The function dm_test
is inspired by the function dm.test
from
package forecast. It is a 'simpler' version in the sense that it computes
p-values from the normal instead of the t distribution.
J. Gross, A. Moeller.
Diebold F.X, Mariano R.S. 1995. Comparing predictive accuracy. Journal of Business & Economic Statistics, 13, 253–263.
Gneiting T., Katzfuss M. 2014. Probabilistic forecasting. Annual Review of Statistics and Its Application, 1, 125–151.
dm.test
in package forecast.
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