l2_relax: l2-relaxation forecast combination A wrapper function with...
In zhan-gao/LasForecast: Time series linear predictive regression
l2_relax R Documentation
l2-relaxation forecast combination
A wrapper function with parameter tuning and estimation.
Description
Details refer to Shi, Su and Xie (2022)
"l_2-relaxation:
With applications to forecast combination and portfolio analysis"
Usage
l2_relax(y, x, tau, solver = "CVXR", tol = 1e-08)
Arguments
y
foreccasting target
x
forecasts to be combined
tau
The regularization parameter
solver
The solver to use; "Rmosek" or "CVXR"
tol
Tolerance for the solver
Value
A list
zhan-gao/LasForecast documentation built on Sept. 18, 2024, 9:40 p.m.
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| l2_relax | R Documentation |
l2-relaxation forecast combination A wrapper function with parameter tuning and estimation.
Description
Details refer to Shi, Su and Xie (2022) "l_2-relaxation: With applications to forecast combination and portfolio analysis"
Usage
l2_relax(y, x, tau, solver = "CVXR", tol = 1e-08)
Arguments
y |
foreccasting target |
x |
forecasts to be combined |
tau |
The regularization parameter |
solver |
The solver to use; "Rmosek" or "CVXR" |
tol |
Tolerance for the solver |
Value
A list
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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