dM1 {StatPerMeCo}

Distance measure defined in Eq. (3.1) of Li et al. (2016)

Description

Compute the distance measure defined in Eq. (3.1) of Li et al. (2016) to compare the factor loading matrix in its Monte Carlos experiments.

Usage

dM1(A, Ahat)

Arguments

A

The original factor loading matrix A

Ahat

The estimated factor loading matrix A

Author(s)

Carlos Trucios

References

Li, W., Gao, J., Li, K., & Yao, Q. (2016). Modeling Multivariate Volatilities via Latent Common Factors. Journal of Business & Economic Statistics, 34(4), 564-573.