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The method of Lagrange multipliers finds critical points (including maxima and minima) of a differentiable function subject to differentiable constraints.
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Scaling prediction from VAR model subject to a equality constraint
I have a forecasting problem and already built a decently working VAR model which provides forecasts as $\hat{Y}_{iT}$, for $i = 1,..n$ and $T$ is forecast time period.
But now I have an additional c …