hdflex 0.3.2
- Replaced deprecated arma::is_finite(val) with
std::isfinite(val)
- Replaced deprecated ggplot2::is.ggplot(plot) with
ggplot2::is_ggplot(plot)
hdflex 0.3.1
hdflex 0.3.0
- 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.
hdflex 0.2.1
- Fixed a bug in the computation of the time-varying coefficients in
the first step of the
stsc() method.
- The forgetting factor
delta in the second step of the
stsc() method now already applies to the most recent
predictive likelihood score in t-1, as stated in Equation (13) in
Adaemmer et al. (2023). Previously, the score in t-1 was given a weight
of 1.0
- Added new argument to
stsc() to decide whether the
subset combinations in the second step of the method should be combined
with equal weights (as proposed in Adaemmer et al. (2023)) or with
weights derived from the predictive log-likelihood scores.
hdflex 0.2.0
- Added the function
stsc() to directly apply the
STSC-algorithm from Adaemmer, Lehmann and Schuessler (2023). This
function is faster and more memory efficient than subsequently applying
tvc() and dsc() as it is now completely
written in Rcpp.
- Fixed the package overview help file.
- Updated documentation
- Updated example
hdflex 0.1.0
- Added a
NEWS.md file to track changes to the
package.