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>.
| Version: | 0.3.2 |
| Depends: | R (≥ 4.2.0) |
| 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: | 2025-10-13 |
| DOI: | 10.32614/CRAN.package.hdflex |
| Author: | Sven Lehmann [aut, cre, cph], Philipp Adämmer [aut], Rainer Schüssler [aut] |
| Maintainer: | Sven Lehmann <slehman5 at uni-muenster.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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