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
Pages (from-to)2924-2940
Number of pages17
JournalJournal of Applied Statistics
Volume52
Issue number15
Early online date8 Apr 2025
DOIs
Publication statusPublished - Dec 2025

Bibliographical note

© 2025 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

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

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