hdflex: High-Dimensional Aggregate Density Forecasts
Provides a forecasting method that efficiently maps vast
numbers of (scalar-valued) signals 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 and, second, it combines the resulting candidate density
forecasts into an ultimate aggregate density forecast. For a detailed
explanation of the method, please refer to Adaemmer et al. (2023)
<doi:10.2139/ssrn.4342487>.
| Version: |
0.3.0 |
| Depends: |
R (≥ 4.3.0) |
| Imports: |
checkmate (≥ 2.3.1), ggplot2 (≥ 3.5.1), parallel, Rcpp, reshape2 (≥ 1.4.4), stats, utils |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppThread |
| Suggests: |
testthat (≥ 3.2.1), cowplot (≥ 1.1.3) |
| Published: |
2024-10-10 |
| DOI: |
10.32614/CRAN.package.hdflex |
| Author: |
Sven Lehmann [aut, cre, cph],
Philipp Adämmer [aut],
Rainer Schüssler [aut] |
| Maintainer: |
Sven Lehmann <sven.lehmann at uni-rostock.de> |
| BugReports: |
https://github.com/lehmasve/hdflex/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/lehmasve/hdflex |
| NeedsCompilation: |
yes |
| Language: |
en-US |
| Materials: |
README NEWS |
| CRAN checks: |
hdflex results |
Documentation:
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