Dynamic factor and double PCA models for partially observed survival curves: Forecasting demand in short-term rental markets
This paper develops prediction models for population-level survival curves observed over time and sampled from a heterogeneous mix of populations. We consider a discrete-time setting where each curve is only partially observed and forecasts of the remaining trajectory are needed for downstream decision making. Our approach recasts cross-population heterogeneity into a multivariate sampling model. We propose two forecasting models for partially observed curves: a full factor analysis model that extends a general factor representation to incorporate the partially observed survival curve, and a double PCA model. The methodology is motivated by demand forecasting in short-term rental markets, where market-level occupancy paths can be viewed as survival curves over the booking horizon and where forecasts of future occupancy feed into dynamic pricing algorithms. We apply the models to the newly released Wheelhouse dataset, which contains time series of market occupancy curves for 500 markets from 2017 to 2022. Model performance is assessed using the integrated quadratic distance, and we compare the proposed PCA-based methods to Holt's linear trend model across multiple forecast horizons. The results show that the proposed models yield accurate and stable forecasts of the remaining survival trajectory and generally outperform Holt's method, particularly at longer horizons.