Forecasting mortality rate by multivariate singular spectrum analysis |
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| Authors: | Rahim Mahmoudvand Dimitrios Konstantinides Paulo Canas Rodrigues |
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| Institution: | 1. Department of Statistics, Bu‐Ali Sina University, Hamedan, Iran;2. Department of Mathematics, University of the Aegean, Samos, Greece;3. CAST, Faculty of Natural Sciences, University of Tampere, Tampere, Finland;4. Department of Statistics, Federal University of Bahia, Salvador, BA, Brazil |
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| Abstract: | In this paper, we investigate the possibility of using multivariate singular spectrum analysis (SSA), a nonparametric technique in the field of time series analysis, for mortality forecasting. We consider a real data application with 9 European countries: Belgium, Denmark, Finland, France, Italy, Netherlands, Norway, Sweden, and Switzerland, over a period 1900 to 2009, and a simulation study based on the data set. The results show the superiority of multivariate SSA in comparison with the univariate SSA, in terms of forecasting accuracy. |
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| Keywords: | multivariate singular spectrum analysis forecasting mortality |
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