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. |

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