同问

1..最直接的当然就是参阅Diebold, F.X. and Mariano, R. (1995),
  "comparing Predictive Accuracy"
  http://www.eco.uc3m.es/~jgonzalo/teaching/PhDTimeSeries/DieboldMariano.pdf
2.简要的可以参考 Eric Zivot
  "Forecasting" page 6-7.  
3.modeling financial time series　with s-plus
  chap9 Rolling Analysis of Time Series
  page 374/1016
  Example 56 Backtesting regression models for predicting asset returns
  也有详细介绍 DM.mse DM.mae
4.R package "forecast"也有function
  dm.test()   Diebold-Mariano test for predictive accuracy

非常感谢epoh