Jason Foster

Thanks and agree the scipy implementation might differ slightly so here's an exact solution using Lagrangian multipliers via armadillo instead (that is similar to scipy's results): ``` arma::mat arma_min_var(const arma::mat&...

Thanks for the insight and guidance. I added `#define ENS_PRINT_INFO` into my program which has been helpful to try out various combinations of `penaltyThresholdFactor` and `sigmaUpdateFactor` but still have not...

Thanks for the explanation and trying out my example. Would you happen to recommend another solver for my problem instead? Specifically I'm just trying to solve the standard "minimize portfolio...

Thanks for the feedback. I currently don't have plans to support it but we can see whether there's demand or collaborators that want to help.

Thanks for the feedback. I don't have plans to support user-defined functions because there's not much value the `roll` package could add relative to existing implementations. Specifically the advantage of...

The current list of functions is mostly from my own survey of rolling statistics that focuses on common use cases and demand, so could you share links to other GH...