find_tau_max: Find the largest tau for L2-Relaxation
In zhan-gao/LasForecast: Time series linear predictive regression
find_tau_max R Documentation
Find the largest tau for L2-Relaxation
Description
This function finds the smallest tau for L2-Relaxation such that
equal-weight solves the forecast combination optimization.
Usage
find_tau_max(sigma_mat)
Arguments
sigma_mat
Sample covariance matrix
Value
smallest tau corresponds to equal-weight
zhan-gao/LasForecast documentation built on Sept. 18, 2024, 9:40 p.m.
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| find_tau_max | R Documentation |
Find the largest tau for L2-Relaxation
Description
This function finds the smallest tau for L2-Relaxation such that equal-weight solves the forecast combination optimization.
Usage
find_tau_max(sigma_mat)
Arguments
sigma_mat |
Sample covariance matrix |
Value
smallest tau corresponds to equal-weight
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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