Man pages for StatPerMeCo
Statistical Performance Measures to Evaluate Covariance Matrix Estimates

AsymmAsymmetric loss function
DM1Distance measure defined in Eq. (3.1) of Li et al. (2016)
DMADiscrepancy measure defined in Eq. (4.2) of Li et al. (2016)
FrobeniusFrobenius distance
LEEuclidean distance
LeigEigenvalue loss function
LelwLoss function defined in Eq. (4.6) of Engle et al. (2016)
MAEMean Absolute Error
MSEMean Square Error
StatPerMeasStatistical performance measures to evaluate conditional...
SteinStein loss function.
StatPerMeCo documentation built on May 30, 2017, 3:25 a.m.