hdflex

hdflex-package

hdflex contains the forecasting algorithm STSC
developed by Adämmer, Lehmann and Schüssler (2023) <a href="/link/doi%3A10.2139%2Fssrn.4342487?package=hdflex&version=0.3.0" data-mini-rdoc="hdflex::doi:10.2139/ssrn.4342487">doi:10.2139/ssrn.4342487</a>.
STSC is a novel time series forecasting method designed to handle very large
sets of predictive signals, many of which are irrelevant or have only
short-lived predictive power.
Please cite the paper when using the package.

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>.

Sven Lehmann

High-Dimensional Aggregate Density Forecasts

Philipp Adämmer

Rainer Schüssler

hdflex function

Philipp Adämmer, Sven Lehmann, Rainer Schüssler

Author

hdflex contains the forecasting algorithm STSC
developed by Adämmer, Lehmann and Schüssler (2023) <a href='doi:10.2139/ssrn.4342487'>doi:10.2139/ssrn.4342487</a>.
STSC is a novel time series forecasting method designed to handle very large
sets of predictive signals, many of which are irrelevant or have only
short-lived predictive power.
Please cite the paper when using the package.

hdflex: hdflex: High-Dimensional Density Forecasts

Description

Arguments

Author