Functional time series with applications in demography


24 June 2014


Humboldt University, Berlin, Germany


This is a short course given at Humboldt University, Berlin, 24-25 June 2014.

Venue: LvB Library, Room 401, Spandauerstr. 1, 10178 Berlin

Time: 24 June 2014, 09:30 - 12:30 and 14:00 - 17:00 25 June 2014, 09:30 - 11:30

Functional time series are curves that are observed sequentially in time, one curve being observed in each time period. In demography, examples include curves formed by annual death rates as a function of age, or annual fertility rates as a function of age. In finance, functional time series can occur in the form of bond yield curves, for example, with each curve being the yield of a bond as a function of the maturity of a bond.

I will discuss methods for describing, modelling and forecasting such functional time series data. Challenges include:


  1. Tools for functional time series analysis [Slides]
  2. Automatic time series forecasting [Slides]
  3. Forecasting functional time series [Slides]
  4. Connections, extensions and applications [Slides]
  5. Forecasting functional time series via PLS [Slides]
  6. Coherent functional forecasting [Slides]
  7. Common functional principal components [Slides]
  8. Stochastic population forecasting [Slides]