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