measurefun: Assess the performance of an estimator on a matrix

In GFM: Generalized Factor Model

Assess the performance of an estimator on a matrix

Description

Evaluate the smallest cononical correlation (ccor) coefficients or trace statistic between two matrices, where a larger ccor or trace statistic is better.

Usage

  measurefun(hH, H, type=c('trace_statistic','ccor'))

Arguments

hH	a n-by-q matrix, the estimated matrix.
H	a n-by-q matrix, the true matrix.
type	a character taking value within c('trace_statistic','ccor'), default as 'trace_statistic'.

Value

return a real number.

Note

nothing

Author(s)

Liu Wei

Examples

  dat <- gendata(n = 100, p = 200, q=2, rho=3)
  res <- Factorm(dat$XList[[1]])
  measurefun(res$hB, dat$B0)

GFM documentation built on Aug. 11, 2023, 9:06 a.m.