L2Relax

This repo is still under development. Use the code at your own risk.

This is R code

• Zhentao Shi, Liangjun Su, and Tian Xie (2020): “High Dimensional Forecast Combinations Under Latent Structures”, [Arxiv:2010.09477]

Contributors: Zhentao Shi and Zhan Gao

Here is the vignette of the L2-relaxation function.

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Please contact Tian Xie (xietian001@hotmail.com) if you have any question about the simulations and empirical applications in the paper.