relspne: Evaluate the Estimation Based on Relative Spectral Norm Error

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

Evaluate the Estimation Based on Relative Spectral Norm Error

Description

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

Usage

relspne(x, y, ...)

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

Arguments

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

Details

Let \lVert \cdot \rVert_2 be the spectral norm of a matrix, let \hat{\Phi} be the estimates, and let \Phi be the true coefficients matrix. Then the function computes relative estimation error by

\frac{\lVert \hat{\Phi} - \Phi \rVert_2}{\lVert \Phi \rVert_2}

Value

Spectral norm value

References

Ghosh, S., Khare, K., & Michailidis, G. (2018). High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models. Journal of the American Statistical Association, 114(526).

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