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multDM  

Multivariate Version of the Diebold-Mariano Test
View on CRAN: Click here


Download and install multDM package within the R console
Install from CRAN:
install.packages("multDM")

Install from Github:
library("remotes")
install_github("cran/multDM")

Install by package version:
library("remotes")
install_version("multDM", "1.1.4")



Attach the package and use:
library("multDM")
Maintained by
Krzysztof Drachal
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-05-18
Latest Update: 2022-06-09
Description:
Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) .
How to cite:
Krzysztof Drachal (2018). multDM: Multivariate Version of the Diebold-Mariano Test. R package version 1.1.4, https://cran.r-project.org/web/packages/multDM. Accessed 22 Dec. 2024.
Previous versions and publish date:
1.0 (2018-05-18 16:04), 1.1.1 (2020-03-28 09:20), 1.1.2 (2020-05-07 12:00), 1.1.3 (2020-06-13 11:40), 1.1 (2020-03-26 19:20)
Other packages that cited multDM R package
View multDM citation profile
Other R packages that multDM depends, imports, suggests or enhances
Complete documentation for multDM
Functions, R codes and Examples using the multDM R package
Some associated functions: DM.test . MDM.selection . MDM.test . MDMforecasts . TB_AR_test . TB_MA . d_t . loss . oilforecasts . print.MDM . 
Some associated R codes: DM.test.R . MDM.test.R . TB_AR_test.R . TB_MA.R .  Full multDM package functions and examples
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