Forecasting mortality rate by multivariate singular spectrum analysis

Rahim Mahmoudvand, Dimitrios Konstantinides and Paulo Canas Rodrigues

Applied Stochastic Models in Business and Industry, 2017, vol. 33, issue 6, 717-732

Abstract: In this paper, we investigate the possibility of using multivariate singular spectrum analysis (SSA), a nonparametric technique in the field of time series analysis, for mortality forecasting. We consider a real data application with 9 European countries: Belgium, Denmark, Finland, France, Italy, Netherlands, Norway, Sweden, and Switzerland, over a period 1900 to 2009, and a simulation study based on the data set. The results show the superiority of multivariate SSA in comparison with the univariate SSA, in terms of forecasting accuracy.

Date: 2017
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https://doi.org/10.1002/asmb.2274

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:33:y:2017:i:6:p:717-732

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