Hi Julien,

Thanks for the right terminology.

There is an answer under http://www.stat.columbia.edu/~tzheng/tianblog/2006/07/fitting-constrained-least-square.html

B.R.
Samuel



Von: julien cuisinier [mailto:j_cuisinier@hotmail.com]
Gesendet: Mittwoch, 8. August 2012 12:12
An: Meichtry Samuel, EIH EH/HTO/HAN; r-sig-finance@r-project.org
Betreff: RE: [R-SIG-Finance] Conditional Regression in Gnu R?

Hi Samuel,



I think the term you want to have search results (you would have found the answer to your question) is "constrained regression"

There might a package done since then, but from memory quadprog package should help - likely newer package are probably wrapper around it


HTH,
Julien







> From: Samuel.Meichtry@bkw-fmb.ch
> To: r-sig-finance@r-project.org
> Date: Wed, 8 Aug 2012 09:41:27 +0000
> Subject: [R-SIG-Finance] Conditional Regression in Gnu R?
>
> Hello,
>
> Is there a package or function in R that can perfom conditional regressions in the style:
>
> a0 = 0 Intercept is zero
> 0 < ai < 1 Parameter estimates lie between 0 and 1
> sum ai = 1 Sum of the Parameter Estimates fits to 1
>
>
> Many thanks for your answers!
>
> B.R.
> Samuel
>
>
>
>
>
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>
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