Description Usage Arguments Author(s) References

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.

1 | ```
dMA(A,Ahat,y)
``` |

`A` |
The original factor loading matrix A |

`Ahat` |
The estimated factor loading matrix A |

`y` |
Matrix of observed returns |

Carlos Trucios

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 30, 2017, 3:25 a.m.

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