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: 2026-10-17 06:35:16 UTC; root
Repository: https://ctruciosm.r-universe.dev
Date/Publication: 2017-04-14 17:05:37 UTC
RemoteUrl: https://github.com/cran/StatPerMeCo
RemoteRef: HEAD
RemoteSha: e8735fa477bb8fc9e85f07719724bcf2ef09be96