Convex Nonparametric Least Squares (CNLS): An alternative formulation

Along with the development of the StoNED-Python project, we recognize that we can reformulate the CNLS estimator and use the Python package, e.g., CVXOPT to solve it. More discussions can be seen from CNLS-reformulation. Thus, this project provides some basic functions (e.g., CNLS_CRS and CNLS_VRS) and a tutorial to help users recode the CNLS in Python.

Please note that the CNLS-Python can only be applied in the applications of additive error term. For most applications in multiplicative one or other StoNED-related models, please go to our ongoing project StoNED-Python.

Authors:

• Sheng Dai, Ph.D. candidate, Aalto University School of Business.
• Timo Kuosmanen, Professor, Aalto University School of Business.