hdflex

Authors Sven Lehmann, Philipp Adämmer, Rainer Alexander Schüssler, Rainer Schüssler

Last update 13 October 2025

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

Software version identifier 0.1.0, 0.2.0, 0.2.1, PACKAGES.rds, 0.2.1, 0.3.0, 0.3.1, 0.3.2

Description

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>.

Cites work

Local Predictability in High Dimensions

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