StatPerMeCo: Statistical Performance Measures to Evaluate Covariance Matrix Estimates
Version 0.1.0

Statistical performance measures used in the econometric literature to evaluate conditional covariance/correlation matrix estimates (MSE, MAE, Euclidean distance, Frobenius distance, Stein distance, asymmetric loss function, eigenvalue loss function and the loss function defined in Eq. (4.6) of Engle et al. (2016) ). Additionally, compute Eq. (3.1) and (4.2) of Li et al. (2016) to compare the factor loading matrix. The statistical performance measures implemented have been previously used in, for instance, Laurent et al. (2012) , Amendola et al. (2015) and Becker et al. (2015) .

Getting started

Package details

AuthorCarlos Trucios
Date of publication2017-04-14 18:05:37 UTC
MaintainerCarlos Trucios <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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StatPerMeCo documentation built on May 30, 2017, 3:25 a.m.