fromse {bvhar}

Evaluate the Estimation Based on Frobenius Norm

Description

This function computes estimation error given estimated model and true coefficient.

Usage

fromse(x, y, ...)

## S3 method for class 'bvharsp'
fromse(x, y, ...)

Arguments

x

Estimated model.

y

Coefficient matrix to be compared.

...

not used

Details

Consider the Frobenius Norm \lVert \cdot \rVert_F. let \hat{\Phi} be nrow x k the estimates, and let \Phi be the true coefficients matrix. Then the function computes estimation error by

MSE = 100 \frac{\lVert \hat{\Phi} - \Phi \rVert_F}{nrow \times k}

Value

Frobenius norm value

References

Bai, R., & Ghosh, M. (2018). High-dimensional multivariate posterior consistency under global–local shrinkage priors. Journal of Multivariate Analysis, 167, 157–170.