Dynamic Mortality Forecasting via Mixed-Frequency State-Space Models
通过混合频率状态空间模型进行动态死亡率预测
High-frequency death counts are now widely available and contain timely information about intra-year mortality dynamics, but most stochastic mortality models are still estimated on annual data and therefore update only when annual totals are released. We propose a mixed-frequency state-space (MF--SS) extension of the Lee--Carter framework that jointly uses annual mortality rates and monthly death counts. The two series are linked through a shared latent monthly mortality…