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

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<title>Forecasting multiple functional time series in a group structure</title>
<subTitle>: an application to mortality</subTitle>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20190015141">
<namePart>Lin Shang, Han</namePart>
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<namePart>Haberman, Steven</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Han Lin Shang, Steven Haberman</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592011">
<topic>Modelos actuariales</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080552183">
<topic>Población</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080568085">
<topic>Bases de datos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080650919">
<geographic>Japón</geographic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 357-379</text>
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