hdflex: High-Dimensional Aggregate Density Forecasts (original) (raw)
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 |
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