I have a question about what is the best function or package to use to
do the following in R:
minimize Q = g W g' where respect to \gamma
where g is n x 1 vector, W is a n x n matrix and is given,
and g = 1 / T * sum_from_i=1_to_1=60 [ (1-R[i+1] * ( E[i+1]/E[i ]
)^(\gamma) ) ]
and T is a constant
would it be a feasible to first find the vector of g (a n x 1 vector)
that minimize Q using solver from quadprog and then solve for \gamma
using the vector elements found?
-Sai
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