MSE: Mean Square Error

Description Usage Arguments Author(s) References Examples

View source: R/Measures.R

Description

Compute the Mean Square Error between the matrices S and H. See, Becker et al. (2015).

Usage

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MSE(S, H)

Arguments

S

Proxy for the conditional covariance/correlation matrix

H

Estimate of the conditional covariance/correlation matrix.

Author(s)

Carlos Trucios

References

Becker, R., Clements, A. E., Doolan, M. B., & Hurn, A. S. (2015). Selecting volatility forecasting models for portfolio allocation purposes. International Journal of Forecasting, 31(3), 849-861.

Examples

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

MSE(S, H)

StatPerMeCo documentation built on May 30, 2017, 3:25 a.m.