Forecasting Accuracy

We now describe various approaches for determining the accuracy of a forecast and whether one forecast is more accurate than another.

Topics:

• Forecast error statistics
• Diebold-Mariano test
• Pesaran-Timmermann test
• Real Statistics support

Reference

Hyndman, R. J. and Athanasopoulos, G. (2018) Evaluating forecast accuracy. Forecasting: Principles and Practice. 2nd ed.
https://otexts.com/fpp2/accuracy.html