Estimate Optimal Coefficients based on Scale-wise Variance Optimization

This function computes the estimated optimal coefficients based on the Scale-wise Variance Optimization approach. The detailed definition can be found in Equation (7) in Zhang et al. (2021) (https://arxiv.org/abs/2106.15997).

find_optimal_coefs(Xt, scale_weights)

Arguments

Xt

A matrix of dimension T by p, where T is the length of the time series and p is the number of processes.

scale_weights

A vector that denotes the weights on scales. All elements should be non-negative and sum to one.

Value

A vector of the estimated optimal coefficients on the p individual processes.

Author

Yuming Zhang