Search

Dynamic principal component regression : application to age-specific mortality forecasting

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20190032063
003  MAP
005  20191106165242.0
008  191106e20190902usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20190015141‎$a‎Lin Shang, Han
24510‎$a‎Dynamic principal component regression‎$b‎: application to age-specific mortality forecasting‎$c‎Han Lin Shang
520  ‎$a‎In areas of application, including actuarial science and demography, it is increasingly common to consider a time series of curves; an example of this is age-specific mortality rates observed over a period of years. Given that age can be treated as a discrete or continuous variable, a dimension reduction technique, such as principal component analysis (PCA), is often implemented. However, in the presence of moderate-to-strong temporal dependence, static PCA commonly used for analyzing independent and identically distributed data may not be adequate. As an alternative, we consider a dynamic principal component approach to model temporal dependence in a time series of curves. Inspired by Brillinger's (1974, Time Series: Data Analysis and Theory. New York: Holt, Rinehart and Winston) theory of dynamic principal components, we introduce a dynamic PCA, which is based on eigen decomposition of estimated long-run covariance. Through a series of empirical applications, we demonstrate the potential improvement of 1-year-ahead point and interval forecast accuracies that the dynamic principal component regression entails when compared with the static counterpart.
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080599300‎$a‎Tablas de mortalidad
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/09/2019 Volumen 49 Número 3 - septiembre 2019 , p.619-645