Is the Group Structure Important in Grouped Functional Time Series?

We study the importance of group structure in grouped functional time series. Due to the non-uniqueness of group structure, we investigate different disaggregation structures in grouped functional time series. We address a practical question on whether or not the group structure can affect forecast accuracy. Using a dynamic multivariate functional time series method, we consider joint modeling and forecasting multiple series. Illustrated by Japanese sub-national age-specific mortality rates from 1975 to 2016, we investigate one- to 15-step-ahead point and interval forecast accuracies for the two group structures.

關鍵字

dynamic principal component analysis ； forecast reconciliation ； Japanese sub-national age-specific mortality rates ； long-run covariance function ； multivariate functional principal component analysis

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Is the Group Structure Important in Grouped Functional Time Series?

摘要

關鍵字

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