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DESCRIPTION
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DESCRIPTION
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Type: Package
Package: hdflex
Title: High-Dimensional Aggregate Density Forecasts
Version: 0.2.1
Authors@R: c(
person("Sven", "Lehmann", , "sven.lehmann@uni-rostock.de", role = c("aut", "cre", "cph")),
person("Philipp", "Adämmer", , "philipp.adaemmer@uni-greifswald.de", role = "aut"),
person("Rainer", "Schüssler", , "rainer.schüssler@uni-rostock.de", role = "aut")
)
Maintainer: Sven Lehmann <sven.lehmann@uni-rostock.de>
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>.
License: GPL (>= 2)
Depends:
R (>= 4.3.0)
Imports:
checkmate (>= 2.3.1),
dplyr (>= 1.1.4),
parallel (>= 4.3.0),
Rcpp,
roll (>= 1.1.6),
stats (>= 4.3.0),
stringr (>= 1.5.1)
Suggests:
testthat (>= 3.2.1)
LinkingTo:
Rcpp,
RcppArmadillo
Config/testthat/edition: 3
Encoding: UTF-8
LazyData: true
NeedsCompilation: Yes
RoxygenNote: 7.3.1
URL: https://github.com/lehmasve/hdflex
BugReports: https://github.com/lehmasve/hdflex/issues