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Forecasting mortality rate by multivariate singular spectrum analysis. (English) Zbl 1411.62325

Summary: 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.

MSC:

62P10 Applications of statistics to biology and medical sciences; meta analysis
62M20 Inference from stochastic processes and prediction
62N05 Reliability and life testing
62M15 Inference from stochastic processes and spectral analysis
62H12 Estimation in multivariate analysis
92B15 General biostatistics
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