DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING

DOI10.1017/asb.2019.20zbMath1427.91241arXiv1905.03900OpenAlexW2943987869MaRDI QIDQ4972119

Han Lin Shang

Publication date: 22 November 2019

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.03900

zbMATH Keywords

dimension reductionmultivariate time seriesfunctional time serieslong-run covariancekernel sandwich estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

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Uses Software

• Rainbow
• forecast
• Forecast
• Human Mortality

Cites Work

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