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Doubt regarding statistical testing of predictions made by two different time series models

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padm...@gmail.com

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Aug 14, 2015, 4:56:22 AM8/14/15
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What test (parametric or non parametric) do you suggest to test the significant difference between the predictions made by two different models used in forecasting a given time series?

Greg Heath (alumni.brown.edu)

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Aug 17, 2015, 6:20:10 AM8/17/15
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On Friday, August 14, 2015 at 4:56:22 AM UTC-4, padm...@gmail.com wrote:
> What test (parametric or non parametric) do you suggest to test the significant difference between the predictions made by two different models used in forecasting a given time series?

A reasonable measure of difference is mse(y1-y2)/std(y1)/std(y2). I don't know if this is related to a common measure.
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