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Statistical performance measures used in the econometric literature to evaluate conditional covariance/correlation matrix estimates (MSE, MAE, Euclidean distance, Frobenius distance, Stein distance, asymmetric loss function, eigenvalue loss function and the loss function defined in Eq. (4.6) of Engle et al. (2016) <doi:10.2139/ssrn.2814555>). Additionally, compute Eq. (3.1) and (4.2) of Li et al. (2016) <doi:10.1080/07350015.2015.1092975> to compare the factor loading matrix. The statistical performance measures implemented have been previously used in, for instance, Laurent et al. (2012) <doi:10.1002/jae.1248>, Amendola et al. (2015) <doi:10.1002/for.2322> and Becker et al. (2015) <doi:10.1016/j.ijforecast.2013.11.007>.
| Version: | 0.1.0 |
| Published: | 2017-04-14 |
| DOI: | 10.32614/CRAN.package.StatPerMeCo |
| Author: | Carlos Trucios |
| Maintainer: | Carlos Trucios <ctrucios at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | StatPerMeCo results |
| Reference manual: | StatPerMeCo.pdf |
| Package source: | StatPerMeCo_0.1.0.tar.gz |
| Windows binaries: | r-devel: StatPerMeCo_0.1.0.zip, r-release: StatPerMeCo_0.1.0.zip, r-oldrel: StatPerMeCo_0.1.0.zip |
| macOS binaries: | r-release (arm64): StatPerMeCo_0.1.0.tgz, r-oldrel (arm64): StatPerMeCo_0.1.0.tgz, r-release (x86_64): StatPerMeCo_0.1.0.tgz, r-oldrel (x86_64): StatPerMeCo_0.1.0.tgz |
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