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Robust Parameter Estimation for the Lee-Carter Family: A Probabilistic Principal Component Approach

Yiping Guo · Johnny Siu-Hang Li首次提交 2022-02-10 · 修订 2023-11-03 · v2arXiv预印本

Lee–Carter 模型族的稳健参数估计：概率主成分方法AI 解读

The well-known Lee-Carter model uses a bilinear form $\log(m_{x,t})=a_x+b_xk_t$ to represent the log mortality rate and has been widely researched and developed over the past thirty years. However, there has been little attention being paid to the robustness of the parameters against outliers, especially when estimating $b_x$ . In response, we propose a robust estimation method for a wide family of Lee-Carter-type models, treating the problem as a Probabilistic Principal…The well-known Lee-Carter model uses a bilinear form $\log(m_{x,t})=a_x+b_xk_t$ to represent the log mortality rate and has been widely researched and developed over the past thirty years. However, there has been little attention being paid to the robustness of the parameters against outliers, especially when estimating $b_x$. In response, we propose a robust estimation method for a wide family of Lee-Carter-type models, treating the problem as a Probabilistic Principal…

宏观 · 时间序列宏观 · 因子模型

关联记录被引 0 次 ↗OpenAlex · 核验 2026-09-30

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