hdflex {hdflex}

hdflex: High-Dimensional Density Forecasts

Description

hdflex contains the forecasting algorithm STSC developed by Adämmer, Lehmann and Schüssler (2023) <doi:10.2139/ssrn.4342487>. STSC is a novel time series forecasting method designed to handle very large sets of predictive signals, many of which are irrelevant or have only short-lived predictive power. Please cite the paper when using the package.

Author(s)

Philipp Adämmer, Sven Lehmann, Rainer Schüssler