Two-dimensional smoothing of mortality rates

Alexander Dokumentov () and Rob Hyndman

No 26/13, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We propose three new practical methods of smoothing mortality rates (the procedure known in demography as graduation) over two dimensions: age and time. The first method uses bivariate thin plate splines. The second uses a similar procedure but with lasso-type regularization. The third method also uses bivariate lasso-type regularization, but allows for both period and cohort effects. Thus the mortality rates are modelled as the sum of four components: a smooth bivariate function of age and time, smooth one-dimensional cohort effects, smooth one-dimensional period effects and random errors. Cross validation is used to compare these new methods of graduation with existing approaches.

Keywords: Mortality rates; nonparametric smoothing; graduation; cohort effects; period effects. (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ecm and nep-hea
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