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Compositional Time Series: An Application

In English

Författare

Redaktör

  • J. Daunis-i-Estadella
  • J.A. Martín-Fernández

Summary, in English

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.

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)

Ämne

  • Probability Theory and Statistics

Nyckelord

  • ILR
  • VAR models
  • ternary time series plot
  • Compositional time series

Conference name

CODAWORK'08

Conference date

2008-05-27 - 2008-05-30

Conference place

Girona, Spain

Status

Published

ISBN/ISSN/Övrigt

  • ISBN: 978-84-8458-272-4