Clark West MSPE adjusted statistics

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alps
Posts: 28
Joined: Sun Feb 24, 2013 7:42 am

Clark West MSPE adjusted statistics

Postby alps » Sun Mar 03, 2013 5:37 am

Hello,
I changed the question a bit, Ithink nobody knows much about this.
I am trying to measure the performance of a few forecasting models I have.

There are 2 adjusted statistics: DM and CW. I checked several sources but I am not sure about the difference. I wonder if anybody has an idea to calcylate the Clark and West adjusted statistics.

From what I read here is Diebold-Mariano statistics: S= d/sqrt(varience of d(t)) sqrt(N)

d(t) = RMSE1(t) - RMSE2(t)

mean of d(t) ==> d= 1/N sum of (d(t)

Thanks a lot

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