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Compositional Time ...
Compositional Time Series: An Application
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- Bergman, Jakob (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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Daunis-i-Estadella, J. (redaktör/utgivare)
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Martín-Fernández, J.A. (redaktör/utgivare)
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(creator_code:org_t)
- 2008
- 2008
- Engelska.
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Ingår i: Proceedings of CODAWORK'08, The 3rd Compositional Data Analysis Workshop, CD-ROM. - 9788484582724
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Abstract
Ämnesord
Stäng
- 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. In this paper we study a monthly compositional time series from the Swedish Labour Force 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 ILRtransformation of the compositional differenced series of order 12. For each of the three models a VAR-model is fitted based on the data 1994-2003. We predict the time series 15 steps ahead and calculate 95 % prediction regions. The predictions of the three models are compared with actual values using MAD and MSE and the prediction regions are compared graphically in a ternary time series plot. We conclude that the first, and simplest, model possesses the best predictive power of the three models.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- ILR
- VAR models
- ternary time series plot
- Compositional time series
Publikations- och innehållstyp
- kon (ämneskategori)
- vet (ämneskategori)
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