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would you accept a PR for a DM-test version that accepts scores_1, scores_2 as inputs instead of the original prices and point forecasts? That way, the DM test could as well be used for probabilistic forecasts if one passes two (n, ) or (n, d) arrays of CRPS (or Energy Scores, Variogram Scores, ...). Currently the scope is somewhat limited to the point forecasting case.
Cheers, Simon
The text was updated successfully, but these errors were encountered:
Check out https://github.com/ogrnz/feval - you can pass either point or probabilistic loss scores and it will do a more general case of the DM test, it even has built in procedures for identifying model confidence sets. Highly recommend :)
Hi,
would you accept a PR for a DM-test version that accepts
scores_1
,scores_2
as inputs instead of the original prices and point forecasts? That way, the DM test could as well be used for probabilistic forecasts if one passes two(n, )
or(n, d)
arrays of CRPS (or Energy Scores, Variogram Scores, ...). Currently the scope is somewhat limited to the point forecasting case.Cheers, Simon
The text was updated successfully, but these errors were encountered: