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