High-dimensional functional time series forecasting: an application to age-specific mortality rates

DOI10.1016/j.jmva.2018.10.003zbMath1415.62093arXiv1810.01195OpenAlexW2895401011WikidataQ58288534 ScholiaQ58288534MaRDI QIDQ1733284

Yanrong Yang, Yuan Gao, Han Lin Shang

Publication date: 21 March 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.01195

zbMATH Keywords

factor modellong-run covariance operatordemographic forecastingdynamic functional principal component analysishigh-dimensional functional time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to social sciences (62P25) Reliability and life testing (62N05)

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Uses Software

• fda (R)
• freqdom.fda

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