l2_relax_comb_opt: Solve L2-relaxation primal problem Details refer to Shi, Su...
In zhan-gao/LasForecast: Time series linear predictive regression
l2_relax_comb_opt R Documentation
Solve L2-relaxation primal problem
Details refer to Shi, Su and Xie (2022)
"l_2-relaxation:
With applications to forecast combination and portfolio analysis"
Description
Solve L2-relaxation primal problem
Details refer to Shi, Su and Xie (2022)
"l_2-relaxation:
With applications to forecast combination and portfolio analysis"
Usage
l2_relax_comb_opt(sigma_mat, tau, solver = "CVXR", tol = 1e-08)
Arguments
sigma_mat
Sample covariance matrix
tau
The regularization parameter
solver
The solver to use; "Rmosek" or "CVXR"
tol
Tolerance for the solver
Value
w_hat: The estimated combination weights
zhan-gao/LasForecast documentation built on Sept. 18, 2024, 9:40 p.m.
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| l2_relax_comb_opt | R Documentation |
Solve L2-relaxation primal problem Details refer to Shi, Su and Xie (2022) "l_2-relaxation: With applications to forecast combination and portfolio analysis"
Description
Solve L2-relaxation primal problem Details refer to Shi, Su and Xie (2022) "l_2-relaxation: With applications to forecast combination and portfolio analysis"
Usage
l2_relax_comb_opt(sigma_mat, tau, solver = "CVXR", tol = 1e-08)
Arguments
sigma_mat |
Sample covariance matrix |
tau |
The regularization parameter |
solver |
The solver to use; "Rmosek" or "CVXR" |
tol |
Tolerance for the solver |
Value
w_hat: The estimated combination weights
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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