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

Rob J. Hyndman, Md Shahid Ullah

Research output: Contribution to journalArticle

260 Citations (Scopus)

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 (LC) 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 LC method and several of its variants.

Original languageEnglish
Pages (from-to)4942-4956
Number of pages15
JournalComputational Statistics and Data Analysis
Volume51
Issue number10
DOIs
Publication statusPublished - 15 Jun 2007
Externally publishedYes

Keywords

  • Fertility forecasting
  • Functional data
  • Mortality forecasting
  • Nonparametric smoothing
  • Principal components
  • Robustness

ASJC Scopus subject areas

  • Statistics and Probability
  • Computational Mathematics
  • Computational Theory and Mathematics
  • Applied Mathematics

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