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Compositional Time Series: An Application

Författare:
Redaktör:
  • J. Daunis-i-Estadella
  • J.A. Martín-Fernández
Publiceringsår: 2008
Språk: Engelska
Publikation/Tidskrift/Serie: Proceedings of CODAWORK'08, The 3rd Compositional Data Analysis Workshop, CD-ROM
Dokumenttyp: Konferensbidrag
Förlag: Univeristy of Girona, Girona (Spain)

Sammanfattning

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.

Disputation

Nyckelord

  • Mathematics and Statistics
  • ILR
  • VAR models
  • ternary time series plot
  • Compositional time series

Övriga

CODAWORK'08
2008-05-27/2008-05-30
Girona, Spain
Published
  • ISBN: 978-84-8458-272-4

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