MSE: Mean Square Error
In StatPerMeCo: Statistical Performance Measures to Evaluate Covariance Matrix Estimates
Description
Usage
Arguments
Author(s)
References
Examples
Description
Compute the Mean Square Error between the matrices S and H. See, Becker et al. (2015).
Usage
1
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
1
2
3
4
5
StatPerMeCo documentation built on May 2, 2019, 12:21 p.m.
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Description Usage Arguments Author(s) References Examples
Description
Compute the Mean Square Error between the matrices S and H. See, Becker et al. (2015).
Usage
1 | 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
1 2 3 4 5 |
R Package Documentation
Browse R Packages
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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