hdflex (Q5980445)
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High-Dimensional Aggregate Density Forecasts
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| default for all languages | No label defined |
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| English | hdflex |
High-Dimensional Aggregate Density Forecasts |
Statements
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>.
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31 October 2023
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expanded from: GPL (≥ 2) (English)
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Philipp Adämmer
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Rainer Alexander Schüssler
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