MSE {StatPerMeCo} | R Documentation |
Compute the Mean Square Error between the matrices S and H. See, Becker et al. (2015).
MSE(S, H)
S |
Proxy for the conditional covariance/correlation matrix |
H |
Estimate of the conditional covariance/correlation matrix. |
Carlos Trucios
Becker, R., Clements, A. E., Doolan, M. B., & Hurn, A. S. (2015). Selecting volatility forecasting models for portfolio allocation purposes. International Journal of Forecasting, 31(3), 849-861.
X = matrix(rnorm(4000),ncol=4)
S = diag(4)
H = cov(X)
MSE(S, H)