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raphaelvallat / pingouin

Statistical package in Python based on Pandas
https://pingouin-stats.org/
GNU General Public License v3.0
1.61k stars 138 forks source link

Diebold-Mariano test / time series and forecasting tests #434

Closed aeturrell closed 1 month ago

aeturrell commented 1 month ago

Hi there,

A huge fan of this package, so thank you. I just wondered if there was any possibility of adding forecasting tests, in particular the Diebold-Mariano test. There's an example in Python here.

Thanks again for this brilliant package, which I cover a lot in Coding for Economists.

raphaelvallat commented 1 month ago

Hi Arthur,

Thanks for your message and kind words! I unfortunately have very little time to work on Pingouin these days and therefore am not planning on implementing any new features. The DM test is also very specific in a way so I'm not sure if Pingouin is the best place for it. I wonder if it would be better implemented as part of scipy.stats?

Thanks for sharing the Coding for Economists great resource!

Raphael

aeturrell commented 1 month ago

Sorry to hear you don't have as much time to work on Pingouin, it's so often the case that life has other demands that have to come first. You've built something truly amazing in the time you have spent on it!

Good shout on another place that might be a better fit. Thinking about its focus on forecast and prediction, I actually wonder if sklearn.metrics might be the one to go for; I'll raise an issue there. Thanks.