Compute the discrepancy measure defined in Eq. (4.2) of Li et al. (2016) to compare the factor loading matrix in its Monte Carlos experiments.
Usage
dMA(A,Ahat,y)
Arguments
A
The original factor loading matrix A
Ahat
The estimated factor loading matrix A
y
Matrix of observed returns
References
Li, W., Gao, J., Li, K., & Yao, Q. (2016). Modeling Multivariate Volatilities via Latent Common Factors. Journal of Business & Economic Statistics, 34(4), 564-573.