fd {cvsem}

Frobenius Matrix Discrepancy

Description

Frobenius Distance as described in (Biscay et al. 1997) or (Amendola and Storti 2015).

Usage

fd(implied_Sigma, test_S)

Arguments

implied_Sigma

Model implied covariances matrix from training set

test_S

Sample covariance matrix from test set

Value

FD discrepancy

References

Amendola A, Storti G (2015). “Model Uncertainty and Forecast Combination in High-Dimensional Multivariate Volatility Prediction.” Journal of Forecasting, 34, 83–91. doi:10.1002/for.2322.

Biscay R, Rodr\'iguez LM, D\'iaz-Frances E (1997). “Cross-validation of covariance structures using the frobenius matrix distance as a discrepancy function.” Journal of Statistical Computation and Simulation, 58, 195–215. doi:10.1080/00949659708811831, https://www.tandfonline.com/doi/abs/10.1080/00949659708811831.()