numeraire.core.stats.ClarkWestResult#

class numeraire.core.stats.ClarkWestResult(mspe_benchmark: float, mspe_model: float, t_stat: float, p_value: float, n_obs: int)[source]#

Bases: object

Clark-West MSPE-adjusted comparison of nested forecasts (one-sided: model beats bench).

__init__(mspe_benchmark: float, mspe_model: float, t_stat: float, p_value: float, n_obs: int) → None#

Methods

__init__(mspe_benchmark, mspe_model, t_stat, ...)

Attributes

`mspe_benchmark`
`mspe_model`
`t_stat`
`p_value`
`n_obs`