| Name : R-StatPerMeCo
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| Version : 0.1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.2.13
| Date : 2024-06-14 11:04:44
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| Group : Development/Libraries/Other
| Source RPM : R-StatPerMeCo-0.1.0-lp153.2.13.src.rpm
|
| Size : 0.04 MB
| |
| Packager : (none)
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| Summary : Statistical Performance Measures to Evaluate Covariance Matrix Estimates
|
Description :
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>.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
