Lelw function

Loss function defined in Eq. (4.6) of Engle et al. (2016)

Compute the Elw loss function between the matrices S and H. See, Engle et al. (2016).

Elw (Engle - Ledoit - Wolf) loss function is defined in Equation (4.6) of Engle et al. (2016).

Lelw(S, H)

Arguments

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

References

Engle, Robert F. and Ledoit, Olivier and Wolf, Michael, Large dynamic covariance matrices (2016). University of Zurich, Department of Economics, Working Paper No. 231. Available at SSRN: https://ssrn.com/abstract=2814555.

Author(s)

Carlos Trucios

Examples

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

Lelw(S, H)