Lelw: Loss function defined in Eq. (4.6) of Engle et al. (2016)

In StatPerMeCo: Statistical Performance Measures to Evaluate Covariance Matrix Estimates

Description

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).

Usage

Lelw(S, H)

Arguments

S	Proxy for the conditional covariance/correlation matrix
H	Estimate of the conditional covariance/correlation matrix.

Author(s)

Carlos Trucios

References

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.

Examples

X = matrix(rnorm(4000),ncol=4)
S = diag(4)
H = cov(X)

Lelw(S, H)

StatPerMeCo documentation built on May 2, 2019, 12:21 p.m.