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Two-dimensional smoothing of mortality rates

  • Alexander Dokumentov

    ()

  • Rob J Hyndman

    ()

We propose three new practical methods of smoothing mortality rates (the procedure known in demography as graduation) over two dimensions: age and time. The first method uses bivariate thin plate splines. The second uses a similar procedure but with lasso-type regularization. The third method also uses bivariate lasso-type regularization, but allows for both period and cohort effects. Thus the mortality rates are modelled as the sum of four components: a smooth bivariate function of age and time, smooth one-dimensional cohort effects, smooth one-dimensional period effects and random errors. Cross validation is used to compare these new methods of graduation with existing approaches.

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File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2013/wp26-13.pdf
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Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 26/13.

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Date of creation: 2013
Date of revision:
Handle: RePEc:msh:ebswps:2013-26
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  1. Hyndman, Rob J. & Booth, Heather, 2008. "Stochastic population forecasts using functional data models for mortality, fertility and migration," International Journal of Forecasting, Elsevier, vol. 24(3), pages 323-342.
  2. Rob J. Hyndman & Md. Shahid Ullah, 2005. "Robust forecasting of mortality and fertility rates: a functional data approach," Monash Econometrics and Business Statistics Working Papers 2/05, Monash University, Department of Econometrics and Business Statistics.
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