hdflex (Q5980445)
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High-Dimensional Aggregate Density Forecasts
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | hdflex |
High-Dimensional Aggregate Density Forecasts |
Statements
expanded from: GPL (≥ 2) (English)
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Rainer Alexander Schüssler
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Rainer Schüssler
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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>.
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13 October 2025
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