Jim Varanelli

icon company Lehigh Valley Capital Management icon location Center Valley, PA icon location Quantitative Portfolio Management, Quantitative Risk Management, Quantitative Analytics, Operations Research, Econometric Modeling, Optimization

Results 5 comments of Jim Varanelli

Non-Negative Least Squares

@josef-pkt I recently added an ActiveSet solver class to my repo which may be of interest. I assume it is similar to the FORTRAN algo referenced in the scipy.optimize.nnls link...

Non-Negative Least Squares

@josef-pkt I wasn’t planning on offering it to scipy but I would be more than happy to integrate it for them if there’s a need. With respect to your question...

Non-Negative Least Squares

@josef-pkt The Hessian is only calculated once at the beginning of the run but is used in both the null space method (if number of active constraints is less than...

Leybourne

Awesome...forgot all about this one lol! The method is a neat twist on KPSS although I'm still not totally sold on the actual utility of stationarity tests viz-a-viz unit-root tests....

Leybourne

Yes ols can certainly be the default. Jim Varanelli Lehigh Valley Capital Management ***@***.*** ***@***.*** 484-268-8213 > On 10/22/2024 11:52 AM EST Kevin Sheppard ***@***.***> wrote: > > > >...