Wilcoxon
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Purpose
Pairwise Wilcoxon signed rank test for evaluating residuals from two models.
Synopsis
- prob = wilcoxon(err_1,err_2)
Description
Pairwise comparison between two sets of model residuals using the sign and magnitude of residuals from two models. Output is the probability that model 2 (the model producing the second set of residuals) is better than model 1 (the model that produces the first set of residuals).
Inputs
- err_1 = Prediction errors from model #1
- err_2 = Prediction errors from model #2
Outputs
- prob = Prob{# of times model#2 wins <=k} Probability that model#2 is better than model#1.