Zapis dokaza metode

Diebold-Mariano Test

The Diebold-Mariano (DM) test, introduced by Diebold and Mariano in 1995, is a widely used non-parametric procedure for formally comparing the predictive accuracy of two competing forecasting models. It evaluates whether the difference in forecast errors between two models is statistically significant, without requiring nested models or specific distributional assumptions about the forecasts, making it broadly applicable across economics, finance, and time-series analysis.

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Diebold-Mariano Test of Equal Predictive Accuracy

Taksonomski zapis metode · hypothesis-test / econometrics

Diebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263. · DOI 10.1080/07350015.1995.10524599

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