dMA {StatPerMeCo}

Discrepancy measure defined in Eq. (4.2) of Li et al. (2016)

Description

Compute the discrepancy measure defined in Eq. (4.2) of Li et al. (2016) to compare the factor loading matrix in its Monte Carlos experiments.

Usage

dMA(A,Ahat,y)

Arguments

A

The original factor loading matrix A

Ahat

The estimated factor loading matrix A

y

Matrix of observed returns

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.