relspne {bvhar}

Evaluate the Estimation Based on Relative Spectral Norm Error

Description

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

Usage

relspne(x, y, ...)

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

Arguments

x

Estimated model.

y

Coefficient matrix to be compared.

...

not used

Details

Let \lVert \cdot \rVert_2 be the spectral norm of a matrix, let \hat{\Phi} be the estimates, and let \Phi be the true coefficients matrix. Then the function computes relative estimation error by

\frac{\lVert \hat{\Phi} - \Phi \rVert_2}{\lVert \Phi \rVert_2}

Value

Spectral norm value

References

Ghosh, S., Khare, K., & Michailidis, G. (2018). High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models. Journal of the American Statistical Association, 114(526).