Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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6-Parametric factor model with long short-term memory

  • Received : 2021.04.15
  • Accepted : 2021.08.27
  • Published : 2021.09.30
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Abstract

As life expectancies increase continuously over the world, the accuracy of forecasting mortality is more and more important to maintain social systems in the aging era. Currently, the most popular model used is the Lee-Carter model but various studies have been conducted to improve this model with one of them being 6-parametric factor model (6-PFM) which is introduced in this paper. To this new model, long short-term memory (LSTM) and regularized LSTM are applied in addition to vector autoregression (VAR), which is a traditional time-series method. Forecasting accuracies of several models, including the LC model, 4-PFM, 5-PFM, and 3 6-PFM's, are compared by using the U.S. and Korea life-tables. The results show that 6-PFM forecasts better than the other models (LC model, 4-PFM, and 5-PFM). Among the three 6-PFMs studied, regularized LSTM performs better than the other two methods for most of the tests.

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