Forecasting Australian subnational age-specific mortality rates

Han Lin Shang and Yang Yang
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Yang Yang: Australian National University

Journal of Population Research, 2021, vol. 38, issue 1, No 1, 24 pages

Abstract: Abstract When modeling sub-national mortality rates, it is important to incorporate any possible correlation among sub-populations to improve forecast accuracy. Moreover, forecasts at the sub-national level should aggregate consistently across the forecasts at the national level. In this study, we apply a grouped multivariate functional time series to forecast Australian regional and remote age-specific mortality rates and reconcile forecasts in a group structure using various methods. Our proposed method compares favorably to a grouped univariate functional time series forecasting method by comparing one-step-ahead to five-step-ahead point forecast accuracy. Thus, we demonstrate that joint modeling of sub-populations with similar mortality patterns can improve point forecast accuracy.

Keywords: Multivariate functional principal component analysis; Hierarchical/grouped time series; Forecast reconciliation; Australian regional mortality rates (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s12546-020-09250-0

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