Package: hdflex 0.2.1

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>.

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

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Bug tracker:https://github.com/lehmasve/hdflex/issues

On CRAN:

forecast-combinationforecastinghigh-dimensionalitytime-series

4 exports 1 stars 1.30 score 24 dependencies 1 scripts 816 downloads

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Dependencies:backportscheckmateclidplyrfansigenericsgluelifecyclemagrittrpillarpkgconfigR6RcppRcppArmadilloRcppParallelrlangrollstringistringrtibbletidyselectutf8vctrswithr