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:

Reference manual: hdflex.pdf

Downloads:

Package source: hdflex_0.3.0.tar.gz
Windows binaries: r-devel: hdflex_0.3.0.zip, r-release: hdflex_0.3.0.zip, r-oldrel: hdflex_0.3.0.zip
macOS binaries: r-release (arm64): hdflex_0.3.0.tgz, r-oldrel (arm64): hdflex_0.3.0.tgz, r-release (x86_64): hdflex_0.3.0.tgz, r-oldrel (x86_64): hdflex_0.3.0.tgz
Old sources: hdflex archive

Linking:

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