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