A comparison of in-sample forecasting methods

In-sample forecasting is a recent continuous modification of well-known forecasting methods based on aggregated data. These aggregated methods are known as age-cohort methods in demography, economics, epidemiology and sociology and as chain ladder in non-life insurance. Data is organized in a two-way table with age and cohort as indices, but without measures of exposure. It has recently been established that such structured forecasting methods based on aggregated data can be interpreted as structured histogram estimators. Continuous in-sample forecasting transfers these classical forecasting models into a modern statistical world including smoothing methodology that is more efficient than smoothing via histograms. All in-sample forecasting estimators are collected and their performance is compared via a finite sample simulation study. All methods are extended via multiplicative bias correction. Asymptotic theory is being developed for the histogram-type method of sieves and for the multiplicatively corrected estimators. The multiplicative bias corrected estimators improve all other known in-sample forecasters in the simulation study. The density projection approach seems to have the best performance with forecasting based on survival densities being the runner-up

Generalised additive dependency inflated models including aggregated covariates

Let us assume that X, Y and U are observed and that the conditional mean of U given X and Y can be expressed via an additive dependency of X, λ(X)Y and X + Y for some unspecified function . This structured regression model can be transferred to a hazard model or a density model when applied on some appropriate grid, and has important forecasting applications via structured marker dependent hazards models or structured density models including age-period-cohort relationships. The structured regression model is also important when the severity of the dependent variable has a complicated dependency on waiting times X, Y and the total waiting time X+Y . In case the conditional mean of U approximates a density, the regression model can be used to analyse the age-period-cohort model, also when exposure data are not available. In case the conditional mean of U approximates a marker dependent hazard, the regression model introduces new relevant age-period-cohort time scale interdependencies in understanding longevity. A direct use of the regression relationship introduced in this paper is the estimation of the severity of outstanding liabilities in non-life insurance companies. The technical approach taken is to use B-splines to capture the underlying one-dimensional unspecified functions. It is shown via finite sample simulation studies and an application for forecasting future asbestos related deaths in the UK that the B-spline approach works well in practice. Special consideration has been given to ensure identifiability of all models considered

Generalized linear time series regression

We consider a cross-section model that contains an individual component, a deterministic time trend and an unobserved latent common time series component. We show the following oracle property: the parameters of the latent time series and the parameters of the deterministic time trend can be estimated with the same asymptotic accuracy as if the parameters of the individual component were known. We consider this model in two settings: least squares fits of linear specifications of the individual component and the parameters of the deterministic time trend and, more generally, quasilikelihood estimation in a generalized linear time series model

On the bulk-skin temperature difference and its impact on satellite remote sensing of sea surface temperature

Satellite infrared sensors only observe the temperature of the skin of the ocean rather than the bulk sea surface temperature (SST) traditionally measured from ships and buoys. In order to examine the differences and similarities between skin and bulk temperatures, radiometric measurements of skin temperature were made in the North Atlantic Ocean from a research vessel along with coincident measurements of subsurface bulk temperatures, radiative fluxes, and meteorological variables. Over the entire 6-week data set the bulk-skin temperature differences (AT) range between -1.0 and 1.0 K with mean differences of 0.1 to 0.2 K depending on wind and surface heat flux conditions. The bulk-skin temperature difference varied between day and night (mean differences 0.11 and 0.30 K, respectively) as well as with different cloud conditions, which can mask the horizontal variability of SST in regions of weak horizontal temperature gradients. A coherency analysis reveals strong correlations between skin and bulk temperatures at longer length scales in regions with relatively weak horizontal temperature gradients. The skin-bulk temperature difference is pararneterized in terms of heat and momentum fluxes (or their related variables) with a resulting accuracy of 0.11 K and 0.17 K for night and daytime. A recommendation is made to calibrate satellite derived SST's during night with buoy measurements and the additional aid of meteorological variables to properly handle AT variations

Asymptotics for In-Sample Density Forecasting

This paper generalizes recent proposals of density forecasting models and it develops theory for this class of models. In density forecasting the density of observations is estimated in regions where the density is not observed. Identification of the density in such regions is guaranteed by structural assumptions on the density that allows exact extrapolation. In this paper the structural assumption is made that the density is a product of one-dimensional functions. The theory is quite general in assuming the shape of the region where the density is observed. Such models naturally arise when the time point of an observation can be written as the sum of two terms (e.g. onset and incubation period of a disease). The developed theory also allows for a multiplicative factor of seasonal effects. Seasonal effects are present in many actuarial, biostatistical, econometric and statistical studies. Smoothing estimators are proposed that are based on backfitting. Full asymptotic theory is derived for them. A practical example from the insurance business is given producing a within year budget of reported insurance claims. A small sample study supports the theoretical results

In-Sample Forecasting Applied to Reserving and Mesothelioma Mortality

This paper shows that recent published mortality projections with unobserved exposure can be understood as structured density estimation. The structured density is only observed on a sub-sample corresponding to historical calendar time. The mortality forecast is obtained by extrapolating the structured density to future calendar times using that the components of the density are identified within sample. The new method is illustrated on the important practical problem of forecasting mesothelioma for the UK population. Full asymptotic theory is provided. The theory is given in such generality that it also introduces mathematical statistical theory for the recent continuous chain ladder model. This allows a modern approach to classical reserving techniques used every day in any non-life insurance company around the globe. Applications to mortality data and non-life insurance data are provided along with relevant small sample simulation studies

Spatial and temporal clustering of dengue virus transmission in Thai villages.

BackgroundTransmission of dengue viruses (DENV), the leading cause of arboviral disease worldwide, is known to vary through time and space, likely owing to a combination of factors related to the human host, virus, mosquito vector, and environment. An improved understanding of variation in transmission patterns is fundamental to conducting surveillance and implementing disease prevention strategies. To test the hypothesis that DENV transmission is spatially and temporally focal, we compared geographic and temporal characteristics within Thai villages where DENV are and are not being actively transmitted.Methods and findingsCluster investigations were conducted within 100 m of homes where febrile index children with (positive clusters) and without (negative clusters) acute dengue lived during two seasons of peak DENV transmission. Data on human infection and mosquito infection/density were examined to precisely (1) define the spatial and temporal dimensions of DENV transmission, (2) correlate these factors with variation in DENV transmission, and (3) determine the burden of inapparent and symptomatic infections. Among 556 village children enrolled as neighbors of 12 dengue-positive and 22 dengue-negative index cases, all 27 DENV infections (4.9% of enrollees) occurred in positive clusters (p < 0.01; attributable risk [AR] = 10.4 per 100; 95% confidence interval 1-19.8 per 100]. In positive clusters, 12.4% of enrollees became infected in a 15-d period and DENV infections were aggregated centrally near homes of index cases. As only 1 of 217 pairs of serologic specimens tested in positive clusters revealed a recent DENV infection that occurred prior to cluster initiation, we attribute the observed DENV transmission subsequent to cluster investigation to recent DENV transmission activity. Of the 1,022 female adult Ae. aegypti collected, all eight (0.8%) dengue-infected mosquitoes came from houses in positive clusters; none from control clusters or schools. Distinguishing features between positive and negative clusters were greater availability of piped water in negative clusters (p < 0.01) and greater number of Ae. aegypti pupae per person in positive clusters (p = 0.04). During primarily DENV-4 transmission seasons, the ratio of inapparent to symptomatic infections was nearly 1:1 among child enrollees. Study limitations included inability to sample all children and mosquitoes within each cluster and our reliance on serologic rather than virologic evidence of interval infections in enrollees given restrictions on the frequency of blood collections in children.ConclusionsOur data reveal the remarkably focal nature of DENV transmission within a hyperendemic rural area of Thailand. These data suggest that active school-based dengue case detection prompting local spraying could contain recent virus introductions and reduce the longitudinal risk of virus spread within rural areas. Our results should prompt future cluster studies to explore how host immune and behavioral aspects may impact DENV transmission and prevention strategies. Cluster methodology could serve as a useful research tool for investigation of other temporally and spatially clustered infectious diseases

Nonparametric regression with parametric help

In this paper we propose a new nonparametric regression technique. Our proposal has common ground with existing two-step procedures in that it starts with a parametric model. However, our approach di↵ers from others in the choice of parametric start within the parametric family. Our proposal chooses a function that is the projection of the unknown regression function onto the parametric family in a certain metric, while the existing methods select the best approximation in the usual L2 metric. We find that the di↵erence leads to substantial improvement in the performance of regression estimators in comparison with direct one-step estimation, irrespective of the choice of a parametric model. This is in contrast with the existing two-step methods, which fail if the chosen parametric model is largely misspecified. We demonstrate this with sound theory and numerical experiment

Operational time and in-sample density forecasting

In this paper we consider a new structural model for in-sample density forecasting. In-sample density forecasting is to estimate a structured density on a region where data are observed and then re-use the estimated structured density on some region where data are not observed. Our structural assumption is that the density is a product of one-dimensional functions with one function sitting on the scale of a transformed space of observations. The transformation involves another unknown one-dimensional function, so that our model is formulated via a known smooth function of three underlying unknown one-dimensional functions. We present an innovative way of estimating the one-dimensional functions and show that all the estimators of the three components achieve the optimal one-dimensional rate of convergence. We illustrate how one can use our approach by analyzing a real dataset, and also verify the tractable finite sample performance of the method via a simulation study