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:

Reference manual: hdflex.pdf

Downloads:

Package source: hdflex_0.2.1.tar.gz
Windows binaries: r-devel: hdflex_0.2.1.zip, r-release: hdflex_0.2.1.zip, r-oldrel: hdflex_0.2.0.zip
macOS binaries: r-release (arm64): hdflex_0.2.1.tgz, r-oldrel (arm64): hdflex_0.2.0.tgz, r-release (x86_64): hdflex_0.2.1.tgz
Old sources: hdflex archive

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