Statistical Performance Measures to Evaluate Covariance Matrix Estimates

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Documentation for package ‘StatPerMeCo’ version 0.1.0

• DESCRIPTION file.

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Asymm	Asymmetric loss function
dM1	Distance measure defined in Eq. (3.1) of Li et al. (2016)
dMA	Discrepancy measure defined in Eq. (4.2) of Li et al. (2016)
Frobenius	Frobenius distance
LE	Euclidean distance
Leig	Eigenvalue loss function
Lelw	Loss function defined in Eq. (4.6) of Engle et al. (2016)
MAE	Mean Absolute Error
MSE	Mean Square Error
StatPerMeas	Statistical performance measures to evaluate conditional covariance matrix estimates.
Stein	Stein loss function.