spne {bvhar} | R Documentation |
Evaluate the Estimation Based on Spectral Norm Error
Description
This function computes estimation error given estimated model and true coefficient.
Usage
spne(x, y, ...)
## S3 method for class 'bvharsp'
spne(x, y, ...)
Arguments
x |
Estimated model. |
y |
Coefficient matrix to be compared. |
... |
not used |
Details
Let be the spectral norm of a matrix,
let
be the estimates,
and let
be the true coefficients matrix.
Then the function computes estimation error by
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).
[Package bvhar version 2.0.1 Index]