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

Rob J Hyndman, Md Shahid Ullah
(2005) Invited paper, Demographic Forecasting session, 55th session of the International Statistical Institute, Sydney, Australia, April 2005


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

R code