Stein {StatPerMeCo} | R Documentation |
Compute the Stein loss function between the matrices S and H. See, Laurent et al. (2012).
Stein(S, H)
S |
Proxy for the conditional covariance/correlation matrix |
H |
Estimate of the conditional covariance/correlation matrix. |
Carlos Trucios
Laurent, S., Rombouts, J. V., & Violante, F. (2012). On the forecasting accuracy of multivariate GARCH models. Journal of Applied Econometrics, 27(6), 934-955.
X = matrix(rnorm(4000),ncol=4)
S = diag(4)
H = cov(X)
Stein(S, H)