Package: hdflex 0.3.0
Sven Lehmann
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>.
Authors:
hdflex_0.3.0.tar.gz
hdflex_0.3.0.tar.gz(r-4.5-noble)hdflex_0.3.0.tar.gz(r-4.4-noble)
hdflex_0.3.0.tgz(r-4.4-emscripten)hdflex_0.3.0.tgz(r-4.3-emscripten)
hdflex.pdf |hdflex.html✨
hdflex/json (API)
NEWS
| # Install 'hdflex' in R: |
| install.packages('hdflex', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/lehmasve/hdflex/issues
- inflation_data - Quarterly U.S. Inflation Dataset
Last updated 15 days agofrom:72025916ef. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 11 2024 |
| R-4.5-linux-x86_64 | OK | Oct 11 2024 |
Dependencies:backportscheckmateclicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigplyrR6RColorBrewerRcppRcppArmadilloRcppThreadreshape2rlangscalesstringistringrtibbleutf8vctrsviridisLitewithr
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Generate dynamic subset forecast combinations | dsc |
| hdflex: High-Dimensional Density Forecasts | hdflex-package hdflex |
| Quarterly U.S. Inflation Dataset (Total CPI) | inflation_data |
| Signal-Transformed-Subset-Combination (STSC) | stsc |
| Summary for 'dsc' object | summary.dsc_obj |
| Summary for 'stsc' object | summary.stsc_obj |
| Compute density forecasts using univariate time-varying coefficient (TV-C) models | tvc |
