Is the group structure important in grouped functional time series?

11/08/2021
by   Yang Yang, et al.
0

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.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset