R/MSE.R

In freqdom: Frequency Domain Based Analysis: Dynamic PCA

#' #' Compute the mean square distance between \eqn{X_k} and \eqn{Y_k}, i.e. \deqn{\frac{1}{n} \sum_{k=1}^n \|X_k-Y_k\|^2,} 
#' #' where \eqn{\|\cdot\|} denotes a Euclidean norm and \eqn{n} is the number of observations.
#' #'
#' #' @title Compute a mean square error between X and Y
#' #' @param X first matrix to compare
#' #' @param Y second matrix to compare
#' #' @return Estimated mean square error
#' #' @export
#' #' @noRd
#' MSE = function(X,Y){ 
#'   if (is.vector(X))
#'     X = matrix(X)
#'   if (is.vector(Y) && Y!= 0)
#'     Y = matrix(Y)
#' 
#'   if (!is.matrix(X) || (!is.matrix(Y) && Y != 0))
#'     stop("X and Y must be matrices, or Y=0")
#'   if (any(dim(Y) != dim(X)) && Y != 0)
#'     stop("Dimentions of X and Y must be equal")
#'   
#'   S = 0
#'   for (i in 1:dim(X)[1]){
#'     S = S + abs((Conj((Y-X)[i,])) %*%(Y-X)[i,])
#'   }
#'   S/dim(X)[1]
#' }