CRAN/E | StatPerMeCo

StatPerMeCo

Statistical Performance Measures to Evaluate Covariance Matrix Estimates

Installation

About

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.

Key Metrics

Version 0.1.0
Published 2017-04-14 2421 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks StatPerMeCo results

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Maintainer

Maintainer

Carlos Trucios

ctrucios@gmail.com

Authors

Carlos Trucios

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64