gls {cvsem}

Generalized Least Squares Discrepancy Function

Description

Generalized Least Squares (GLS) Discrepancy as defined in (Cudeck and Browne 1983).

Usage

gls(implied_sigma, test_S)

Arguments

implied_sigma

Model implied covariances matrix from training set

test_S

Sample covariance matrix from test set

Value

GLS discrepancy

References

Cudeck R, Browne MW (1983). “Cross-Validation Of Covariance Structures.” Multivariate Behavioral Research, 18, 147–167. doi:10.1207/s15327906mbr1802_2, https://www.tandfonline.com/doi/abs/10.1207/s15327906mbr1802_2.()