Compute the Elw loss function between the matrices S and H. See, Engle et al. (2016).
Elw (Engle - Ledoit - Wolf) loss function is defined in Equation (4.6) of Engle et al. (2016).
Proxy for the conditional covariance/correlation matrix
Estimate of the conditional covariance/correlation matrix.
Engle, Robert F. and Ledoit, Olivier and Wolf, Michael, Large dynamic covariance matrices (2016). University of Zurich, Department of Economics, Working Paper No. 231. Available at SSRN: https://ssrn.com/abstract=2814555.
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