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Source files of the course "Mathematics for Macroeconomics"
This Python function dm_test implements the Diebold-Mariano Test (1995) to statistically test forecast accuracy equivalence for 2 sets of predictions with modification suggested by Harvey et. al (1…
Python Kalman filtering and optimal estimation library. Implements Kalman filter, particle filter, Extended Kalman filter, Unscented Kalman filter, g-h (alpha-beta), least squares, H Infinity, smoo…
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