DMA: Discrepancy measure defined in Eq. (4.2) of Li et al. (2016)
In StatPerMeCo: Statistical Performance Measures to Evaluate Covariance Matrix Estimates
Description
Usage
Arguments
Author(s)
References
Description
Compute the discrepancy measure defined in Eq. (4.2) of Li et al. (2016) to compare the factor loading matrix in its Monte Carlos experiments.
Usage
1
dMA(A,Ahat,y)
Arguments
A
The original factor loading matrix A
Ahat
The estimated factor loading matrix A
y
Matrix of observed returns
Author(s)
Carlos Trucios
References
Li, W., Gao, J., Li, K., & Yao, Q. (2016). Modeling Multivariate Volatilities via Latent Common Factors. Journal of Business & Economic Statistics, 34(4), 564-573.
StatPerMeCo documentation built on May 2, 2019, 12:21 p.m.
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Description Usage Arguments Author(s) References
Description
Compute the discrepancy measure defined in Eq. (4.2) of Li et al. (2016) to compare the factor loading matrix in its Monte Carlos experiments.
Usage
1 | dMA(A,Ahat,y)
|
Arguments
A |
The original factor loading matrix A |
Ahat |
The estimated factor loading matrix A |
y |
Matrix of observed returns |
Author(s)
Carlos Trucios
References
Li, W., Gao, J., Li, K., & Yao, Q. (2016). Modeling Multivariate Volatilities via Latent Common Factors. Journal of Business & Economic Statistics, 34(4), 564-573.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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