Common functional principal component models for mortality forecasting

Authors

Rob J Hyndman, Farah Yasmeen

Published

24 May 2014

Publication details

Contributions in infinite-dimensional statistics and related topics, Chapter 29, pages 161-166

Links

 

We explore models for forecasting groups of functional time series data that exploit common features in the data. Our models involve fitting common (or partially common) functional principal component models and forecasting the coefficients using univariate time series methods. We illustrate our approach by forecasting age-specific mortality rates for males and females in Australia.

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