@krzysztofsztompka/garch
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    Type Alias Validation

    A walk-forward's grade: the model's and the baseline's mean QLIKE, each scored origin's terms, and their Diebold–Mariano test.

    type Validation = {
        baselineLoss: number | null;
        beatsBaseline: boolean | null;
        dieboldMariano: DieboldMariano | null;
        loss: number | null;
        origins: number;
        scored: readonly ScoredOrigin[];
        skipped: number;
    }
    Index
    baselineLoss beatsBaseline dieboldMariano loss origins scored skipped
    baselineLoss: number | null
    beatsBaseline: boolean | null

    null when no origin could be scored.

    dieboldMariano: DieboldMariano | null

    Diebold–Mariano of the model's QLIKE terms against the baseline's (HAC lags for the windows' overlap, ⌈horizon/step⌉ − 1): is the difference between loss and baselineLoss more than noise? null with too few scored origins or no variance in the differences.

    loss: number | null
    origins: number
    scored: readonly ScoredOrigin[]

    Each scored origin's QLIKE term and the baseline's, in order: loss is their mean.

    skipped: number

    Origins dropped because a fit did not converge or a forecast was not usable.

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