Forecasting multiple functional time series in a group structure : an application to mortality

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<dc:creator>Lin Shang, Han</dc:creator>
<dc:creator>Haberman, Steven</dc:creator>
<dc:date>2020-05-01</dc:date>
<dc:description xml:lang="es">Sumario: When modelling subnational mortality rates, we should consider three features: How to incorporate any possible correlation among subpopulations to potentially improve forecast accuracy through multi-population joint modelling; How to reconcile subnational mortality forecasts so that they aggregate adequately across various levels of a group structure; Among the forecast reconciliation methods, how to combine their forecasts to achieve improved forecast accuracy. To address these issues, we introduce an extension of grouped univariate functional time-series method. We first consider a multivariate functional time-series method to jointly forecast multiple related series. We then evaluate the impact and benefit of using forecast combinations among the forecast reconciliation methods. Using the Japanese regional age-specific mortality rates, we investigate 115-step-ahead point and interval forecast accuracies of our proposed extension and make recommendations.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/171964.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Población</dc:subject>
<dc:subject xml:lang="es">Bases de datos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Japón</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Forecasting multiple functional time series in a group structure : an application to mortality</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 357-379</dc:relation>
<dc:coverage xml:lang="es">Japón</dc:coverage>
</rdf:Description>
</rdf:RDF>