Diebold-Mariano test
Project description
dieboldmariano
This package provides a simple, pure-Python implementation of the Diebold-Mariano statistical test. It has no dependencies outside the Python standard library.
References
Diebold, F.X. and Mariano, R.S. (1995) Comparing predictive accuracy. Journal of Business and Economic Statistics, 13, 253-263.
Harvey, D., Leybourne, S., & Newbold, P. (1997). Testing the equality of prediction mean squared errors. International Journal of forecasting, 13(2), 281-291.
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