Solver for Bayesian Predictive Stacking of Predictive densities convex optimization problem

Solver for Bayesian Predictive Stacking of Predictive densities convex optimization problem

Usage

conv_opt(scores)

Arguments

scores

matrix \(N \times K\) of expected predictive density evaluations for the K models considered

Value

W matrix of Bayesian Predictive Stacking weights for the K models considered