Forecasting a time series of Lorenz curves: one-way functional analysis of variance

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Abstract

The Lorenz curve is a fundamental tool for analysing income and wealth distribution and inequality at national and regional levels. We utilise a one-way functional analysis of variance to decompose a time series of Lorenz curves and develop a method for producing one-step-ahead point and interval forecasts. The one-way functional analysis of variance is easily interpretable by decomposing an array into a functional grand effect, a functional row effect and residual functions. We evaluate and compare the forecast accuracy between the functional analysis of variance and three non-functional methods using the Italian household income and wealth data.
Original languageEnglish
JournalJournal of Applied Statistics
Early online date8 Apr 2025
DOIs
Publication statusE-pub ahead of print - 8 Apr 2025

Keywords

  • functional principal component analysis
  • functional time series
  • high dimensionality
  • income and wealth inequality
  • Gini index

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