gls: Generalized Least Squares Discrepancy Function

In cvsem: SEM Model Comparison with K-Fold Cross-Validation

Generalized Least Squares Discrepancy Function

Description

Generalized Least Squares (GLS) Discrepancy as defined in \insertCiteCudeck1983cvsem.

Usage

gls(implied_sigma, test_S)

Arguments

implied_sigma	Model implied covariances matrix from training set
test_S	Sample covariance matrix from test set

Value

GLS discrepancy

References

\insertAllCited

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cvsem documentation built on Aug. 13, 2022, 5:06 p.m.