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Posts feedRobust mortality forecasting for multivariate models
In my previous blog I showed how univariate stochastic mortality models like the Lee-Carter and APC models can be robustified to cope with data affected by the covid-19 pandemic. This blog considers multivariate models.
Getting to the root of time-series forecasting
When using a stochastic model for mortality forecasting, people can either use penalty functions or time-series methods . Each approach has its pros and cons, but time-series methods are the commonest. I demonstrated in an earlier posting how an ARIMA time-series model can be a better representation of a mortality index than a random walk with drift.