R: Statistical Performance Measures to Evaluate Covariance Matrix Estimates

# Statistical Performance Measures to Evaluate Covariance Matrix Estimates

## Documentation for package ‘StatPerMeCo’ version 0.1.0

- DESCRIPTION file

## Help Pages

Asymm | Asymmetric loss function
dM1 | Distance measure defined in Eq. (3.1) of Li et al. (2016)
dMA | Discrepancy measure defined in Eq. (4.2) of Li et al. (2016)
Frobenius | Frobenius distance
LE | Euclidean distance
Leig | Eigenvalue loss function
Lelw | Loss function defined in Eq. (4.6) of Engle et al. (2016)
MAE | Mean Absolute Error
MSE | Mean Square Error
StatPerMeas | Statistical performance measures to evaluate conditional covariance matrix estimates.
Stein | Stein loss function.