Robust forecasting of mortality and fertility rates: a functional data approach

Rob Hyndman and Md. Shahid Ullah ()

No 2/05, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We propose a new method for forecasting age-specific mortality and fertility rates observed over time. Our approach allows for smooth functions of age, is robust for outlying years due to wars and epidemics, and provides a modelling framework that is easily adapted to allow for constraints and other information. We combine ideas from functional data analysis, nonparametric smoothing and robust statistics to form a methodology that is widely applicable to any functional time series data, and age-specific mortality and fertility in particular. We show that our model is a generalization of the Lee-Carter model commonly used in mortality and fertility forecasting. The methodology is applied to French mortality data and Australian fertility data, and we show that the forecasts obtained are superior to those from the Lee-Carter method and several of its variants.

Keywords: Fertility Forecasting; Functional Data; Mortality Forecasting; Nonparametric Smoothing; Principal Components; Robustness. (search for similar items in EconPapers)
JEL-codes: C14 C32 C53 J11 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2005-02
New Economics Papers: this item is included in nep-ecm and nep-hea
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Citations: View citations in EconPapers (20)

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Related works:
Journal Article: Robust forecasting of mortality and fertility rates: A functional data approach (2007)
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