Leig function

Eigenvalue loss function

Compute the Eigenvalue loss function between the matrices S and H. See, Amendola et al. (2015).

Leig(S, H)

Arguments

• S: Proxy for the conditional covariance/correlation matrix
• H: Estimate of the conditional covariance/correlation matrix.

References

Amendola, A., & Storti, G. (2015). Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Journal of Forecasting, 34(2), 83-91.

Author(s)

Carlos Trucios

Examples

X = matrix(rnorm(4000),ncol=4)
S = diag(4)
H = cov(X)

Leig(S, H)