fromse: Evaluate the Estimation Based on Frobenius Norm

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

Evaluate the Estimation Based on Frobenius Norm

Description

This function computes estimation error given estimated model and true coefficient.

Usage

fromse(x, y, ...)

## S3 method for class 'bvharsp'
fromse(x, y, ...)

Arguments

x	Estimated model.
y	Coefficient matrix to be compared.
...	not used

Details

Consider the Frobenius Norm \lVert \cdot \rVert_F. let \hat{\Phi} be nrow x k the estimates, and let \Phi be the true coefficients matrix. Then the function computes estimation error by

MSE = 100 \frac{\lVert \hat{\Phi} - \Phi \rVert_F}{nrow \times k}

Value

Frobenius norm value

References

Bai, R., & Ghosh, M. (2018). High-dimensional multivariate posterior consistency under global-local shrinkage priors. Journal of Multivariate Analysis, 167, 157-170.

bvhar documentation built on April 4, 2025, 5:22 a.m.