Is the group structure important in grouped functional time series?

Yang Yang; Han Lin Shang

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arXiv · 2111.04390

Is the group structure important in grouped functional time series?

Yang Yang·Han Lin Shang

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Abstract

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.

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Yang Yang, Han Lin Shang. 2021-11-08. Is the group structure important in grouped functional time series?. https://arxiv.org/abs/2111.04390

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