hdflex: High-Dimensional Aggregate Density Forecasts
Provides a forecasting method that maps vast numbers of
(scalar-valued) signals of any type into an aggregate density forecast
in a time-varying and computationally fast manner. The method proceeds
in two steps: First, it transforms a predictive signal into a density
forecast. Second, it combines the generated candidate density
forecasts into an ultimate density forecast. The methods are explained
in detail in Adaemmer et al. (2023) <doi:10.2139/ssrn.4342487>.
| Version: |
0.2.1 |
| Depends: |
R (≥ 4.3.0) |
| Imports: |
checkmate (≥ 2.3.1), dplyr (≥ 1.1.4), parallel (≥ 4.3.0), Rcpp, roll (≥ 1.1.6), stats (≥ 4.3.0), stringr (≥ 1.5.1) |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat (≥ 3.2.1) |
| Published: |
2024-02-29 |
| Author: |
Sven Lehmann [aut, cre, cph],
Philipp Adämmer [aut],
Rainer Schüssler [aut] |
| Maintainer: |
Sven Lehmann <sven.lehmann at uni-rostock.de> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| CRAN checks: |
hdflex results |
Documentation:
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