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Test Diebolda-Mariano na równość dokładności prognostycznej×Test serii Walda-Wolfowitza×Test znakowy×
DziedzinaEkonometriaStatystykaStatystyka
RodzinaHypothesis testHypothesis testHypothesis test
Rok powstania199519401946
TwórcaFrancis Diebold & Roberto MarianoAbraham Wald & Jacob WolfowitzW. J. Dixon & A. M. Mood
TypNon-parametric forecast comparison testNonparametric randomness testNonparametric median test
Źródło pierwotneDiebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263. DOI ↗Wald, A. & Wolfowitz, J. (1940). On a test whether two samples are from the same population. Annals of Mathematical Statistics, 11(2), 147–162. DOI ↗Dixon, W. J. & Mood, A. M. (1946). The statistical sign test. Journal of the American Statistical Association, 41(236), 557–566. DOI ↗
Inne nazwyDM Test, Test of Equal Forecast Accuracy, Diebold-Mariano Forecast Comparison Test, Tahmin Doğruluğu Eşitliği TestiWald-Wolfowitz test, runs test for randomness, Runs Testi (Wald-Wolfowitz)İşaret Testi (Sign Test), one-sample sign test, paired sign test
Pokrewne354
PodsumowanieThe 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.The Wald-Wolfowitz runs test is a nonparametric hypothesis test that determines whether a sequence of observations — coded as a series of binary symbols — follows a random pattern or contains systematic structure. Introduced by Abraham Wald and Jacob Wolfowitz in 1940, the test counts the number of uninterrupted runs of identical symbols and asks whether that count is consistent with random arrangement.The sign test is the simplest nonparametric hypothesis test for deciding whether the median of paired differences — or of a single sample — differs significantly from a hypothesised value. Formalised by W. J. Dixon and A. M. Mood in 1946, it imposes virtually no distributional assumptions and can be applied to any data where individual differences can be classified as positive or negative.
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