Package: StatPerMeCo
Type: Package
Title: Statistical Performance Measures to Evaluate Covariance Matrix
        Estimates
Version: 0.1.0
Date: 2017-04-13
Author: Carlos Trucios
Maintainer: Carlos Trucios <ctrucios@gmail.com>
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>.
License: GPL (>= 2)
Note: The author acknowledges financial support from Sao Paulo Research
        Foundation (FAPESP) grant 2016/18599-4
NeedsCompilation: no
Packaged: 2017-04-14 17:27:22 UTC; ctruciosm
Repository: CRAN
Date/Publication: 2017-04-14 18:05:37 UTC
Built: R 4.6.0; ; 2026-04-25 22:35:30 UTC; unix
