train_l2_relax: Do parameter tuning for L2-Relaxation

In zhan-gao/LasForecast: Time series linear predictive regression

Do parameter tuning for L2-Relaxation

Description

Do parameter tuning for L2-Relaxation

Usage

train_l2_relax(
  y,
  x,
  m = 5,
  tau.seq = NULL,
  ntau = 100,
  tau.min.ratio = 0.01,
  train_method = "oos",
  solver = "Rmosek",
  tol = 1e-05
)

Arguments

y	foreccasting target
x	forecasts to be combined
m	number of folds
tau.seq	Sequence of tau values
ntau	number of tau values
tau.min.ratio	ratio of the minimum tau in tau.seq over the maximum (which is the smallest tau such that equal-weight solves the forecast combination optimization.)
train_method	"cv_random", "cv" or "oos"
solver	"Rmosek" or "CVXR"

Value

besttune

zhan-gao/LasForecast documentation built on Sept. 18, 2024, 9:40 p.m.