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A comparison of ten principal component methods for forecasting mortality rates

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  • Han Lin Shang
  • Rob J Hyndman
  • Heather Booth

Abstract

Using the age- and sex-specific data of 14 developed countries, we compare the short- to medium-term accuracy of ten principal component methods for forecasting mortality rates and life expectancy. These ten methods include the Lee-Carter method and many of its variants and extensions. For forecasting mortality rates, the weighted Hyndman-Ullah method provides the most accurate point forecasts, while the Lee-Miller method gives the best point forecast accuracy of life expectancy. Furthermore, the weighted Hyndman-Ullah method provides the most accurate interval forecasts of mortality rates, while the robust Hyndman-Ullah method provides the best interval forecast accuracy of life expectancy.

Suggested Citation

  • Han Lin Shang & Rob J Hyndman & Heather Booth, 2010. "A comparison of ten principal component methods for forecasting mortality rates," Monash Econometrics and Business Statistics Working Papers 8/10, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:2010-8
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    File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2010/wp8-10.pdf
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    References listed on IDEAS

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    Cited by:

    1. Hendrik Hansen, 2013. "The forecasting performance of mortality models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(1), pages 11-31, January.
    2. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.

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    More about this item

    Keywords

    Mortality forecasting; life expectancy forecasting; principal component methods; Lee-Carter method; interval forecasts; forecasting time series;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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