DUGi

Compositional Time Series: An Application

http://dugi.udg.edu/item/http:@@@@hdl.handle.net@@2072@@14739

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

Geologische Vereinigung; Institut d鈥橢stad铆stica de Catalunya; International Association for Mathematical Geology; C脿tedra Llu铆s Santal贸 d鈥橝plicacions de la Matem脿tica; Generalitat de Catalunya, Departament d鈥橧nnovaci贸, Universitats i Recerca; Ministerio de Educaci贸n y Ciencia; Ingenio 2010.

Universitat de Girona. Departament d鈥橧nform脿tica i Matem脿tica Aplicada