This function computes estimation error given estimated model and true coefficient.
Usage
fromse(x, y, ...)
# S3 method for class 'bvharsp'
fromse(x, y, ...)
Arguments
- x
Estimated model.
- y
Coefficient matrix to be compared.
- ...
not used
Value
Frobenius norm value
Details
Consider the Frobenius Norm \(\lVert \cdot \rVert_F\).
let \(\hat{\Phi}\) be nrow x k the estimates,
and let \(\Phi\) be the true coefficients matrix.
Then the function computes estimation error by
$$MSE = 100 \frac{\lVert \hat{\Phi} - \Phi \rVert_F}{nrow \times k}$$
References
Bai, R., & Ghosh, M. (2018). High-dimensional multivariate posterior consistency under global-local shrinkage priors. Journal of Multivariate Analysis, 167, 157-170.
