The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
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>.
| Version: | 0.1.0 |
| Published: | 2017-04-14 |
| Author: | Carlos Trucios |
| Maintainer: | Carlos Trucios <ctrucios at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | StatPerMeCo results |
| Reference manual: | StatPerMeCo.pdf |
| Package source: | StatPerMeCo_0.1.0.tar.gz |
| Windows binaries: | r-devel: StatPerMeCo_0.1.0.zip, r-release: StatPerMeCo_0.1.0.zip, r-oldrel: StatPerMeCo_0.1.0.zip |
| macOS binaries: | r-release (arm64): StatPerMeCo_0.1.0.tgz, r-oldrel (arm64): StatPerMeCo_0.1.0.tgz, r-release (x86_64): StatPerMeCo_0.1.0.tgz, r-oldrel (x86_64): StatPerMeCo_0.1.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=StatPerMeCo to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.