MAE function

Mean Absolute Error

Compute the Mean Absolute Error between the matrices S and H. See, Becker et al.(2015).

MAE(S, H)

Arguments

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

References

Becker, R., Clements, A. E., Doolan, M. B., & Hurn, A. S. (2015). Selecting volatility forecasting models for portfolio allocation purposes. International Journal of Forecasting, 31(3), 849-861.

Author(s)

Carlos Trucios

Examples

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

MAE(S, H)