Forecasting mortality rate improvements with a high-dimensional VAR
From MaRDI portal
Publication:2273994
Recommendations
- Mortality forecasting with a spatially penalized smoothed VAR model
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model
- Forecasting mortality with international linkages: a global vector-autoregression approach
- Modelling mortality: A bayesian factor-augmented var (favar) approach
Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A class of random field memory models for mortality forecasting
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A general procedure for constructing mortality models
- A gravity model of mortality rates for two related populations
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Basis risk modelling: a cointegration-based approach
- Bootstrapping Lasso estimators
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Covariance regularization by thresholding
- DIFFERENCES IN EUROPEAN MORTALITY RATES: A GEOMETRIC APPROACH ON THE AGE–PERIOD PLANE
- Extrapolation of Stationary Random Fields
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling and management of mortality risk: a review
- Modelling adult mortuality in small populations the saint model
- Multi-population mortality models: a factor copula approach
- Multi-population mortality models: fitting, forecasting and comparisons
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- On stochastic mortality modeling
- Parametric mortality improvement rate modelling and projecting
- Regularization and Variable Selection Via the Elastic Net
- Regularized estimation in sparse high-dimensional time series models
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Robust forecasting of mortality and fertility rates: a functional data approach
- Robustness and convergence in the Lee-Carter model with cohort effects
- Smoothing and forecasting mortality rates
- Sparse estimation of a covariance matrix
- Testing for unit roots in autoregressive-moving average models of unknown order
- Trends and random walks in macroeconomic time series
- Two-dimensional kernel smoothing of mortality surface: an evaluation of cohort strength
- Understanding, modelling and managing longevity risk: key issues and main challenges
Cited in
(17)- A group regularisation approach for constructing generalised age-period-cohort mortality projection models
- Forecasting mortality trends allowing for cause-of-death mortality dependence
- Age-coherent extensions of the Lee-Carter model
- High-dimensional functional time series forecasting: an application to age-specific mortality rates
- Forecasting mortality with international linkages: a global vector-autoregression approach
- Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model
- Separable factor analysis with applications to mortality data
- Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Longevity risk and capital markets: the 2019--20 update
- Forecasting mortality rate by multivariate singular spectrum analysis
- High-dimensional VARs with common factors
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach
- Mortality forecasting with a spatially penalized smoothed VAR model
- Forecasting mortality rates with a coherent ensemble averaging approach
- Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations
Describes a project that uses
Uses Software
This page was built for publication: Forecasting mortality rate improvements with a high-dimensional VAR
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2273994)
