Simultaneous bootstrap confidence bands for skill scores provide valid joint inference in multivariate, multi-horizon forecast comparisons under extended Diebold-Mariano assumptions.
32 E Tabulated Simulation Results N= 100N= 400 a v boot typeP= 2P= 5P= 25P= 2P= 5P= 25 0 0 block Sup-t 0.872 0.832 0.7560.9040.879 0.848 0 0 block Bonf
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Uncertainty Quantification in Forecast Comparisons
Simultaneous bootstrap confidence bands for skill scores provide valid joint inference in multivariate, multi-horizon forecast comparisons under extended Diebold-Mariano assumptions.