Other packages > Find by keyword >

StatPerMeCo  

Statistical Performance Measures to Evaluate Covariance Matrix Estimates
View on CRAN: Click here


Download and install StatPerMeCo package within the R console
Install from CRAN:
install.packages("StatPerMeCo")

Install from Github:
library("remotes")
install_github("cran/StatPerMeCo")

Install by package version:
library("remotes")
install_version("StatPerMeCo", "0.1.0")



Attach the package and use:
library("StatPerMeCo")
Maintained by
Carlos Trucios
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-04-14
Latest Update: 2017-04-14
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> andBecker et al. (2015) <doi:10.1016/j.ijforecast.2013.11.007>.
How to cite:
Carlos Trucios (2017). StatPerMeCo: Statistical Performance Measures to Evaluate Covariance Matrix Estimates. R package version 0.1.0, https://cran.r-project.org/web/packages/StatPerMeCo
Previous versions and publish date:
No previous versions
Other packages that cited StatPerMeCo R package
View StatPerMeCo citation profile
Other R packages that StatPerMeCo depends, imports, suggests or enhances
Functions, R codes and Examples using the StatPerMeCo R package
Some associated functions: Asymm . DM1 . DMA . Frobenius . LE . Leig . Lelw . MAE . MSE . StatPerMeas . Stein . 
Some associated R codes: Measures.R . StatPerMeas.R .  Full StatPerMeCo package functions and examples
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

ismev  
An Introduction to Statistical Modeling of Extreme Values
Functions to support the computations carried out in `An Introduction to Statistical Modeling of Ex ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
MatrixEQTL  
Matrix eQTL: Ultra Fast eQTL Analysis via Large Matrix Operations
Matrix eQTL is designed for fast eQTL analysis on large datasets. Matrix eQTL can test for associat ...
Download / Learn more Package Citations See dependency  
gclus  
Clustering Graphics
Orders panels in scatterplot matrices and parallel coordinate displays by some merit index. Package ...
Download / Learn more Package Citations See dependency  
multiocc  
Fits Multivariate Spatio-Temporal Occupancy Model
Spatio-temporal multivariate occupancy models can handle multiple species in occupancy models. This ...
Download / Learn more Package Citations See dependency  
CompoundEvents  
Statistical Modeling of Compound Events
Tools for extracting occurrences, assessing potential driving factors, predicting occurrences, and q ...
Download / Learn more Package Citations See dependency  

22,114

R Packages

188,080

Dependencies

55,244

Author Associations

22,115

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net. Contact Us / Suggestions / Concerns