hdflex

Authors Sven Lehmann, Philipp Adämmer, Rainer Alexander Schüssler

Last update 31 October 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.1.0, 0.2.0, 0.2.1

Description

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>.

Cites work

Local Predictability in High Dimensions

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