Change-point detection in functional time series: Applications to age-specific mortality and fertility
Fuente:
arXiv
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| Formato: | Preprint |
| Publicado: |
2024
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| _version_ | 1866929571990863872 |
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| author | Shang, Han Lin |
| author_facet | Shang, Han Lin |
| contents | We consider determining change points in a time series of age-specific mortality and fertility curves observed over time. We propose two detection methods for identifying these change points. The first method uses a functional cumulative sum statistic to pinpoint the change point. The second method computes a univariate time series of integrated squared forecast errors after fitting a functional time-series model before applying a change-point detection method to the errors to determine the change point. Using Australian age-specific fertility and mortality data, we apply these methods to locate the change points and identify the optimal training period to achieve improved forecast accuracy. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_00534 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Change-point detection in functional time series: Applications to age-specific mortality and fertility Shang, Han Lin Applications Methodology 62R10 We consider determining change points in a time series of age-specific mortality and fertility curves observed over time. We propose two detection methods for identifying these change points. The first method uses a functional cumulative sum statistic to pinpoint the change point. The second method computes a univariate time series of integrated squared forecast errors after fitting a functional time-series model before applying a change-point detection method to the errors to determine the change point. Using Australian age-specific fertility and mortality data, we apply these methods to locate the change points and identify the optimal training period to achieve improved forecast accuracy. |
| title | Change-point detection in functional time series: Applications to age-specific mortality and fertility |
| topic | Applications Methodology 62R10 |
| url | https://arxiv.org/abs/2411.00534 |