Compute the Eigenvalue loss function between the matrices S and H. See, Amendola et al. (2015).
Proxy for the conditional covariance/correlation matrix
Estimate of the conditional covariance/correlation matrix.
Amendola, A., & Storti, G. (2015). Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Journal of Forecasting, 34(2), 83-91.
1 2 3 4 5
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.