Title:
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Compositional Time Series: An Application
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Author:
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Bergman, Jakob
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Other authors:
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Daunis i Estadella, Josep; Martín Fernández, Josep Antoni; Universitat de Girona. Departament d’Informàtica i Matemàtica Aplicada |
Abstract:
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The composition of the labour force is an important economic factor for a country.Often the changes in proportions of different groups are of interest.I this paper we study a monthly compositional time series from the Swedish LabourForce Survey from 1994 to 2005. Three models are studied: the ILR-transformed series,the ILR-transformation of the compositional differenced series of order 1, and the ILRtransformationof the compositional differenced series of order 12. For each of thethree models a VAR-model is fitted based on the data 1994-2003. We predict the timeseries 15 steps ahead and calculate 95 % prediction regions. The predictions of thethree models are compared with actual values using MAD and MSE and the predictionregions are compared graphically in a ternary time series plot.We conclude that the first, and simplest, model possesses the best predictive power ofthe three models |
Abstract:
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Geologische Vereinigung; Institut d’Estadística de Catalunya; International Association for Mathematical Geology; Càtedra Lluís Santaló d’Aplicacions de la Matemàtica; Generalitat de Catalunya, Departament d’Innovació, Universitats i Recerca; Ministerio de Educación y Ciencia; Ingenio 2010. |
Publication date:
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2009-04-01 |
Subject(s):
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-Models matemàtics -Temps i reaccions econòmiques |
Rights:
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Tots els drets reservats |
Document type:
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Conference Object |
Published by:
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Universitat de Girona. Departament d’Informàtica i Matemàtica Aplicada
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