Man pages for StatPerMeCo
Statistical Performance Measures to Evaluate Covariance Matrix Estimates
| Asymm | Asymmetric loss function |
| DM1 | Distance measure defined in Eq. (3.1) of Li et al. (2016) |
| DMA | Discrepancy measure defined in Eq. (4.2) of Li et al. (2016) |
| Frobenius | Frobenius distance |
| LE | Euclidean distance |
| Leig | Eigenvalue loss function |
| Lelw | Loss function defined in Eq. (4.6) of Engle et al. (2016) |
| MAE | Mean Absolute Error |
| MSE | Mean Square Error |
| StatPerMeas | Statistical performance measures to evaluate conditional... |
| Stein | Stein loss function. |
