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arXiv (Cornell University)
Forecasting mortality rates with functional signatures
July 2024 • Zhong Jing Yap, Dharini Pathmanathan, Sophie Dabo‐Niang
This study introduces an innovative methodology for mortality forecasting, which integrates signature-based methods within the functional data framework of the Hyndman-Ullah (HU) model. This new approach, termed the Hyndman-Ullah with truncated signatures (HUts) model, aims to enhance the accuracy and robustness of mortality predictions. By utilizing signature regression, the HUts model is able to capture complex, nonlinear dependencies in mortality data which enhances forecasting accuracy across various demograph…
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Computer Science