In-sample forecasting: a brief review and new algorithms

zbMATH Open1396.62073MaRDI QIDQ4580336FDOQ4580336

Authors:

Publication date: 15 August 2018

Full work available at URL: http://alea.impa.br/articles/v15/15-33.pdf

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• scientific article; zbMATH DE number 5035826

zbMATH Keywords

forecastdensity estimationkernel smoothingbackfittingchain ladderstructured nonparametric modelsUK mesothelioma mortalityage-cohort models

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Double chain ladder
• Modeling and forecasting U.S. mortality. (With discussion)
• Title not available (Why is that?)
• Nonparametric Methods for Doubly Truncated Data
• Double Chain Ladder and Bornhuetter-Ferguson
• Nonparametric regression with doubly truncated data
• Kernel density estimation with doubly truncated data
• Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
• Generalised structured models
• Bandwidth selection for kernel density estimation with doubly truncated data
• Nonparametric Estimation of a Survivorship Function with Doubly Censored Data
• Strong consistency of a nonparametric estimator of the survival function with doubly censored data
• Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Operational time and in-sample density forecasting
• Asymptotics for in-sample density forecasting
• In-sample forecasting applied to reserving and mesothelioma mortality
• Estimation of a semiparametric multiplicative density model
• Prediction of RBNS and IBNR claims using claim amounts and claim counts
• Asymptotic properties of self-consistent estimators based on doubly censored data
• A generalized two-sample Wilcoxon test for doubly censored data
• Estimation and extrapolation of time trends in registry data -- borrowing strength from related populations
• A modification of the redistribution to the right algorithm using disease markers
• A nonparametric approach to identify age, time, and cohort effects
• A review and comparison of age-period-cohort models for cancer incidence
• In-sample forecasting with local linear survival densities
• Generalized redistribute-to-the-right algorithm: application to the analysis of censored cost data

Cited In (4)

• Smooth Backfitting of Proportional Hazards With Multiplicative Components
• Calendar effect and in-sample forecasting
• A comparison of in-sample forecasting methods
• Operational time and in-sample density forecasting

Uses Software

• DCL

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