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hdflex 0.3.0

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@lehmasve lehmasve released this 07 Oct 16:18
· 24 commits to main since this release
7bd316d
  • Enhanced parallelization using RcppThreads for the stsc() function.
  • Improved (computational) performance
  • Added S3 class method for stsc and dsc objects: summary.stsc_obj and summary.dsc_obj for generating plots showing the evolution of the tuning parameter, as well as standard accuracy metrics such as Mean-Squared-Error, Continuous-Ranked-Probability-Score, and Predictive-Log-Likelihood-Score.
  • Introduction of the new argument bias for stsc() and tvc, allowing users to decide whether bias correction should be applied to the F-Signals in the TVC-models.
  • Addition of the new argument incl for stsc() and dsc, enabling users to specify whether certain signals are required to be included in the subsets.
  • Improved internal structure and performance for dsc().
  • Renamed the argument burn_in_tvc to burn_in and sample_length to init.
  • Consolidated the arguments risk_aversion, min_weight, and max_weight into portfolio_arguments.