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Dynamic principal component regression for forecasting functional time series in a group structure

Shang, Han Lin


When generating social policies and pricing annuity at national and subnational levels, it is essential both to forecast mortality accurately and ensure that forecasts at the subnational level add up to the forecasts at the national level. This has motivated recent developments in forecasting functional time series in a group structure, where static principal component analysis is used. In the presence of moderate to strong temporal dependence, static principal component analysis designed for...[Show more]

CollectionsANU Research Publications
Date published: 2019-09-16
Type: Journal article
Source: Scandinavian Actuarial Journal
DOI: 10.1080/03461238.2019.1663553
Access Rights: Open Access


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