Package: hdflex 0.3.2

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. (2025) <doi:10.1080/07350015.2025.2526424>.

Authors:Sven Lehmann [aut, cre, cph], Philipp Adämmer [aut], Rainer Schüssler [aut]