search for: impermissible

...e the same model using stata's xtreg, it returns a sigma_u of zero, and if I estimate it with HLM, it generates a bad tau and tries again with one that is positive but weensy. Are the algorithms in lme doing the same thing here, or something closely analogous? Generating an impermissible negative that gets truncated to zero, or substituting a very small positive number for it, or generating that very small number directly? (2) Assuming that the model is degenerating into OLS or something an epsilon away from OLS, can I still make the following inference? (a) The s...

Hi I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero. I don't think any of the standard R

Hi I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero. I don't think any of the standard R