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

Rob J Hyndman and Md Shahid Ullah
(2007) Computational Statistics & Data Analysis 51, 4942-4956

DOI

Abstract: A new method is proposed for forecasting age-specific mortality and fertility rates observed over time. This 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. Ideas from functional data analysis, nonparametric smoothing and robust statistics are combined to form a methodology that is widely applicable to any functional time series data observed discretely and possibly with error. The 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 the forecasts obtained are shown to be superior to those from the Lee-Carter method and several of its variants

Keywords: Bias-correction, bootstrapping, confidence interval, half-life, highest density region

R code