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Compositional Time Series: An Application

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 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

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.

Universitat de Girona. Departament d’Informàtica i Matemàtica Aplicada

Manager: Daunis-i-Estadella, Pepus
Martín Fernández, Josep Antoni
Other contributions: Universitat de Girona. Departament d’Informàtica i Matemàtica Aplicada
Author: Bergman, Jakob
Date: 2008 May 29
Abstract: 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 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
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.
Format: application/pdf
Citation: Bergman, J. ’Compositional Time Series: An Application’ a CODAWORK’08. Girona: La Universitat, 2008 [consulta: 13 maig 2008]. Necessita Adobe Acrobat. Disponible a Internet a: http://dugi-doc.udg.edu//handle/10256/723
Document access: http://hdl.handle.net/10256/723
Language: eng
Publisher: Universitat de Girona. Departament d’Informàtica i Matemàtica Aplicada
Rights: Tots els drets reservats
Subject: Models matemàtics
Temps i reaccions econòmiques
Title: Compositional Time Series: An Application
Type: info:eu-repo/semantics/conferenceObject
Repository: DUGiDocs

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