trueFrobeniusLoss() computes the true cross-validated Frobenius loss over the validation dataset.

trueFrobeniusLoss(estimate, true_covar)

Arguments

estimate

A matrix corresponding to the estimate of the covariance matrix.

true_covar

A matrix corresponding to the true covariance matrix of the data generating distribution.

Value

The true average Frobenius loss over the validation dataset of estimate as a numeric.