StatPerMeCo
Statistical Performance Measures to Evaluate Covariance Matrix Estimates
Description
Statistical performance measures used in the econometric literature to evaluate conditional covariance/correlation matrix estimates (MSE, MAE, Euclidean distance, Frobenius distance, Stein distance, asymmetric loss function, eigenvalue loss function and the loss function defined in Eq. (4.6) of Engle et al. (2016) <doi:10.2139/ssrn.2814555>). Additionally, compute Eq. (3.1) and (4.2) of Li et al. (2016) <doi:10.1080/07350015.2015.1092975> to compare the factor loading matrix. The statistical performance measures implemented have been previously used in, for instance, Laurent et al. (2012) <doi:10.1002/jae.1248>, Amendola et al. (2015) <doi:10.1002/for.2322> and Becker et al. (2015) <doi:10.1016/j.ijforecast.2013.11.007>.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Carlos Trucios <ctrucios@gmail.com>’
No Authors@R field in DESCRIPTION.
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Authors@R: person(given = "Carlos",
family = "Trucios",
role = c("aut", "cre"),
email = "ctrucios@gmail.com")
as necessary.
CRAN incoming feasibility
Maintainer: ‘Carlos Trucios <ctrucios@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Carlos",
family = "Trucios",
role = c("aut", "cre"),
email = "ctrucios@gmail.com")
as necessary.
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Carlos Trucios <ctrucios@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Carlos",
family = "Trucios",
role = c("aut", "cre"),
email = "ctrucios@gmail.com")
as necessary.
CRAN incoming feasibility
Maintainer: ‘Carlos Trucios <ctrucios@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Carlos",
family = "Trucios",
role = c("aut", "cre"),
email = "ctrucios@gmail.com")
as necessary.
Version History
1 trackedR Observatory began tracking this package on Mar 10, 2026; it first appeared on CRAN Apr 14, 2017. Releases before tracking aren’t shown.