F.norm2

matrix


Calculate the squared Frobenius norm of a matrix


Estimation and regularization for covariance matrix of asset
returns. For covariance matrix estimation, three major types of factor
models are included: macroeconomic factor model, fundamental factor model and
statistical factor model. For covariance matrix regularization, four regularized
estimators are included: banding, tapering, hard-thresholding and soft-
thresholding. The tuning parameters of these regularized estimators are selected
via cross-validation.

F.norm2: The Squared Frobenius Norm

Description

Usage

Arguments

Value

Examples