Description Usage Arguments Author(s) References Examples
Compute the Mean Square Error between the matrices S and H. See, Becker et al. (2015).
1 | MSE(S, H)
|
S |
Proxy for the conditional covariance/correlation matrix |
H |
Estimate of the conditional covariance/correlation matrix. |
Carlos Trucios
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.
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