hdflex
High-Dimensional Aggregate Density Forecasts
Philipp Adämmer, Sven Lehmann, Rainer Alexander Schüssler
Last update: 31 October 2023
Software version identifier: 0.1.0, 0.2.0, 0.2.1
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
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>.
