Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates

This study implements various, maximum overlap, discrete wavelet transform filters to model and forecast the time-dependent mortality index of the Lee-Carter model. The choice of appropriate wavelet filters is essential in effectively capturing the dynamics in a period. This cannot be accomplished b...

Full description

Saved in:
Bibliographic Details
Main Authors: Yaacob, Nurul Aityqah, Jaber, Jamil J., Pathmanathan, Dharini, Alwadi, Sadam, Mohamed, Ibrahim
Format: Article
Published: MDPI 2021
Subjects:
Online Access:http://eprints.um.edu.my/27923/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.um.eprints.27923
record_format eprints
spelling my.um.eprints.279232022-06-15T02:04:22Z http://eprints.um.edu.my/27923/ Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates Yaacob, Nurul Aityqah Jaber, Jamil J. Pathmanathan, Dharini Alwadi, Sadam Mohamed, Ibrahim QA Mathematics This study implements various, maximum overlap, discrete wavelet transform filters to model and forecast the time-dependent mortality index of the Lee-Carter model. The choice of appropriate wavelet filters is essential in effectively capturing the dynamics in a period. This cannot be accomplished by using the ARIMA model alone. In this paper, the ARIMA model is enhanced with the integration of various maximal overlap discrete wavelet transform filters such as the least asymmetric, best-localized, and Coiflet filters. These models are then applied to the mortality data of Australia, England, France, Japan, and USA. The accuracy of the projecting log of death rates of the MODWT-ARIMA model with the aforementioned wavelet filters are assessed using mean absolute error, mean absolute percentage error, and mean absolute scaled error. The MODWT-ARIMA (5,1,0) model with the BL14 filter gives the best fit to the log of death rates data for males, females, and total population, for all five countries studied. Implementing the MODWT leads towards improvement in the performance of the standard framework of the LC model in forecasting mortality rates. MDPI 2021-09 Article PeerReviewed Yaacob, Nurul Aityqah and Jaber, Jamil J. and Pathmanathan, Dharini and Alwadi, Sadam and Mohamed, Ibrahim (2021) Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates. Mathematics, 9 (18). ISSN 2227-7390, DOI https://doi.org/10.3390/math9182295 <https://doi.org/10.3390/math9182295>. 10.3390/math9182295
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic QA Mathematics
spellingShingle QA Mathematics
Yaacob, Nurul Aityqah
Jaber, Jamil J.
Pathmanathan, Dharini
Alwadi, Sadam
Mohamed, Ibrahim
Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates
description This study implements various, maximum overlap, discrete wavelet transform filters to model and forecast the time-dependent mortality index of the Lee-Carter model. The choice of appropriate wavelet filters is essential in effectively capturing the dynamics in a period. This cannot be accomplished by using the ARIMA model alone. In this paper, the ARIMA model is enhanced with the integration of various maximal overlap discrete wavelet transform filters such as the least asymmetric, best-localized, and Coiflet filters. These models are then applied to the mortality data of Australia, England, France, Japan, and USA. The accuracy of the projecting log of death rates of the MODWT-ARIMA model with the aforementioned wavelet filters are assessed using mean absolute error, mean absolute percentage error, and mean absolute scaled error. The MODWT-ARIMA (5,1,0) model with the BL14 filter gives the best fit to the log of death rates data for males, females, and total population, for all five countries studied. Implementing the MODWT leads towards improvement in the performance of the standard framework of the LC model in forecasting mortality rates.
format Article
author Yaacob, Nurul Aityqah
Jaber, Jamil J.
Pathmanathan, Dharini
Alwadi, Sadam
Mohamed, Ibrahim
author_facet Yaacob, Nurul Aityqah
Jaber, Jamil J.
Pathmanathan, Dharini
Alwadi, Sadam
Mohamed, Ibrahim
author_sort Yaacob, Nurul Aityqah
title Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates
title_short Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates
title_full Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates
title_fullStr Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates
title_full_unstemmed Hybrid of the Lee-Carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates
title_sort hybrid of the lee-carter model with maximum overlap discrete wavelet transform filters in forecasting mortality rates
publisher MDPI
publishDate 2021
url http://eprints.um.edu.my/27923/
_version_ 1736834262858989568
score 13.211869