Forecast Model Selection

Compare forecast accuracy between competing models.

Diebold-Mariano Test

Compare predictive accuracy of two forecasts.

Parameter	Type	Required	Default	Description
`actual`	DOUBLE	Yes	-	Actual values
`forecast1`	DOUBLE	Yes	-	First forecast
`forecast2`	DOUBLE	Yes	-	Second forecast
`options`	MAP	No	-	Configuration options

Options MAP:

Option	Type	Default	Description
`loss`	VARCHAR	`mse`	`mse`, `mae`, or `mape`
`alternative`	VARCHAR	`two_sided`	`two_sided`, `less`, `greater`

SELECT anofox_stats_diebold_mariano_agg(
    actual,
    forecast1,
    forecast2,
    MAP {'loss': 'mse'}
) as result
FROM forecast_data;

Nested model comparison for forecasts. More powerful than Diebold-Mariano when comparing nested models.

Parameter	Type	Required	Default	Description
`actual`	DOUBLE	Yes	-	Actual values
`forecast1`	DOUBLE	Yes	-	First forecast (restricted model)
`forecast2`	DOUBLE	Yes	-	Second forecast (unrestricted model)

Field	Type	Description
`statistic`	DOUBLE	CW test statistic
`p_value`	DOUBLE	p-value

SELECT anofox_stats_clark_west_agg(
    actual,
    forecast1,
    forecast2
) as result
FROM forecast_data;