This function computes relative estimation error given estimated model and true coefficient.
Usage
relspne(x, y, ...)
# S3 method for class 'bvharsp'
relspne(x, y, ...)
Arguments
- x
Estimated model.
- y
Coefficient matrix to be compared.
- ...
not used
Value
Spectral norm value
Details
Let \(\lVert \cdot \rVert_2\) be the spectral norm of a matrix,
let \(\hat{\Phi}\) be the estimates,
and let \(\Phi\) be the true coefficients matrix.
Then the function computes relative estimation error by
$$\frac{\lVert \hat{\Phi} - \Phi \rVert_2}{\lVert \Phi \rVert_2}$$
References
Ghosh, S., Khare, K., & Michailidis, G. (2018). High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models. Journal of the American Statistical Association, 114(526).
