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

 

We propose a new method for forecasting age-specific mortality and fertility rates observed over time. We combine ideas from functional data analysis, nonparametric smoothing and robust statistics to form a methodology that is widely applicable to any functional time series data, and age-specific mortality and fertility in particular. Our approach provides a modelling framework that is easily adapted to allow for constraints and other information. The model used can be considered a generalization of the Lee-Carter model commonly used in mortality and fertility forecasting. The methodology is applied to Australian fertility data.

Keywords: forecasting, mortality, fertility, functional data

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Cite

@inproceedings{ISI05,
  author    = {Rob J Hyndman and Shahid Ullah},
  booktitle = {Proceedings, 55th session of the International Statistical Institute},
  publisher = {Sydney, Australia, April 2005},
  title     = {Robust forecasting of mortality and fertility rates: a functional data approach},
  year      = 2005
}