To cite hdi in publications use:

  Ruben Dezeure, Peter Buehlmann, Lukas Meier and Nicolai Meinshausen
  (2015). High-Dimensional Inference: Confidence Intervals, p-values
  and R-Software hdi. Statistical Science 30 (4), 533-558.

A BibTeX entry for LaTeX users is

  @Article{,
    title = {High-Dimensional Inference: Confidence Intervals, p-values and {R}-Software {hdi}},
    author = {Ruben Dezeure and Peter B\"uhlmann and Lukas Meier and Nicolai Meinshausen},
    journal = {Statistical Science},
    year = {2015},
    volume = {30},
    number = {4},
    pages = {533--558},
  }