Point and interval forecasts of mortality rates and life expectancy: A comparison of ten principal component methods

Han Lin Shang*, Heather Booth, Rob Hyndman

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

54 Citations (Scopus)

Abstract

Using the age- and sex-specific data of 14 developed countries, we compare the point and interval forecast accuracy and bias of ten principal component methods for forecasting mortality rates and life expectancy. The ten methods are variants and extensions of the Lee-Carter method. Based on one-step forecast errors, the weighted Hyndman-Ullah method provides the most accurate point forecasts of mortality rates and the Lee-Miller method is the least biased. For the accuracy and bias of life expectancy, the weighted Hyndman-Ullah method performs the best for female mortality and the Lee-Miller method for male mortality. While all methods underestimate variability in mortality rates, the more complex Hyndman-Ullah methods are more accurate than the simpler methods. The weighted Hyndman-Ullah method provides the most accurate interval forecasts for mortality rates, while the robust Hyndman-Ullah method provides the best interval forecast accuracy for life expectancy.
Original languageEnglish
Article number5
Pages (from-to)173-214
Number of pages42
JournalDemographic Research
Volume25
DOIs
Publication statusPublished - 15 Jul 2011
Externally publishedYes

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