Description Usage Arguments Author(s) References Examples
Compute the Stein loss function between the matrices S and H. See, Laurent et al. (2012).
1 | Stein(S, H)
|
S |
Proxy for the conditional covariance/correlation matrix |
H |
Estimate of the conditional covariance/correlation matrix. |
Carlos Trucios
Laurent, S., Rombouts, J. V., & Violante, F. (2012). On the forecasting accuracy of multivariate GARCH models. Journal of Applied Econometrics, 27(6), 934-955.
1 2 3 4 5 |
[1] 0.006619795
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