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...
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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 |
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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 |
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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. |
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Article |
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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 |
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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 |
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MDPI |
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2021 |
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http://eprints.um.edu.my/27923/ |
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