diebold.mariano.test <- function(e1,e2,loss=c("square","abs"),k)
{
        # Compute loss differential
        if (loss == "square") { d <- (e1)^2 - (e2)^2 }
        else { d <- abs(e1) - abs(e2) }
        # Compute sample size and asymptotic variance of loss differential
        n    <- length(d)
            lrv  <- acf(d,lag.max=k,type="covariance",plot=FALSE)$acf[,,1]
            eps  <- 1.0e-8
            lrv  <- max(eps,sum(c(lrv[1],2*lrv[-1]))/n)
            test <- mean(d)/sqrt(lrv)
        p.val <- 2*pnorm(-abs(test))
        return(list(statistic=test,pvalue=p.val))
}
#example
e1 <- rnorm(500, sd=1)
e2 <- rnorm(500, sd=1.3)
diebold.mariano.test (e1,e2,"abs",3)

2# epoh
太感谢了

diebold.mariano.test <- function(x, alternative = c("two.sided", "less", "greater"), k) {

    if (NCOL(x) > 1)

        stop("x is not a vector or univariate time series")     if (any(is.na(x)))

        stop("NAs in x")
    alternative <- match.arg(alternative)     DNAME <- deparse(substitute(x))
    n <- NROW(x)
    cv <- acf(x, lag.max=k, type="covariance", plot=FALSE)$acf[,,1]     eps <- 1.0e-8
    vr <- max(eps, sum(c(cv[1], 2*cv[-1])) / n)     STATISTIC <- mean(x) / sqrt(vr)
    names(STATISTIC) <- "Standard Normal"     METHOD <- "Diebold-Mariano Test"
    if (alternative == "two.sided")

        PVAL <- 2 * pnorm(-abs(STATISTIC))     else if (alternative == "less")

        PVAL <- pnorm(STATISTIC)
    else if (alternative == "greater")

        PVAL <- pnorm(STATISTIC, lower.tail = FALSE)     PARAMETER <- k
    names(PARAMETER) <- "Truncation lag"     structure(list(statistic = STATISTIC, parameter = PARAMETER, alternative = alternative,

                   p.value = PVAL, method = METHOD, data.name = DNAME),
              class = "htest")


}

g <- function(x)
{

    abs(x)
}

e1 <- rnorm(500)
e2 <- rnorm(500)

diebold.mariano.test(g(e1)-g(e2), k = 3)

e1 <- rnorm(500, sd=1)
e2 <- rnorm(500, sd=1.3)

diebold.mariano.test(g(e1)-g(e2), k = 3)

都是高手，学习了

5# kk22boy 你好，请问你做的DMtest 有这三个结果吗？
一个asymptotic test，然后exact finite samples test 里有sign test 和 Wilcoxon's Signed-Rank Test
请教