Description Usage Arguments Author(s) References Examples
Compute the Eigenvalue loss function between the matrices S and H. See, Amendola et al. (2015).
1 | Leig(S, H)
|
S |
Proxy for the conditional covariance/correlation matrix |
H |
Estimate of the conditional covariance/correlation matrix. |
Carlos Trucios
Amendola, A., & Storti, G. (2015). Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Journal of Forecasting, 34(2), 83-91.
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