find_optimal_coefs: Estimate Optimal Coefficients based on Scale-wise Variance...

In Yuming-Zhang/synimu: Scale-wise Variance Optimization

Estimate Optimal Coefficients based on Scale-wise Variance Optimization

Description

This function computes the estimated optimal coefficients based on the Scale-wise Variance Optimization approach. The detailed definition can be found in Equation (7) in Zhang et al. (2021) (https://arxiv.org/abs/2106.15997).

Usage

find_optimal_coefs(Xt, scale_weights)

Arguments

Xt	A matrix of dimension T by p, where T is the length of the time series and p is the number of processes.
scale_weights	A vector that denotes the weights on scales. All elements should be non-negative and sum to one.

Value

A vector of the estimated optimal coefficients on the p individual processes.

Author(s)

Yuming Zhang

Yuming-Zhang/synimu documentation built on Jan. 29, 2023, 11:59 a.m.