Authors
Li Li, Han Li, Anastasios Panagiotelis
Publication date
2024/5/20
Journal
International Journal of Forecasting
Publisher
Elsevier
Description
This paper extends the technique of gradient boosting with a focus on using domain-specific models instead of trees. The domain of mortality forecasting is considered as an application. The two novel contributions are to use well-known stochastic mortality models as weak learners in gradient boosting rather than trees, and to include a penalty that shrinks mortality forecasts in adjacent age groups and nearby geographical regions closer together. The proposed method demonstrates superior forecasting performance based on US male mortality data from 1969 to 2019. The proposed approach also enables us to interpret and visualize the results. The boosted model with age-based shrinkage yields the most accurate national-level mortality forecast. For state-level forecasts, spatial shrinkage provides further improvement in accuracy in addition to the benefits of age-based shrinkage. This improvement can be …
Scholar articles
L Li, H Li, A Panagiotelis - International Journal of Forecasting, 2024