This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based mortality models, to forecast future mortality rates. In particular, the proposed model utilizes a data-driven method to determine the autoregressive...

When it comes to variable interpretation, multicollinearity is among the biggest issues that must be surmounted, especially in this new era of Big Data Analytics. Since even moderate size multicollinearity can prevent proper interpretation, special diagnostics must be recommended and implemented...

When it comes to variable interpretation, multicollinearity is among the biggest issues that must be surmounted, especially in this new era of Big Data Analytics. Since even moderate size multicollinearity can prevent proper interpretation, special diagnostics must be recommended and implemented...

This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based mortality models, to forecast future mortality rates. In particular, the proposed model utilizes a data-driven method to determine the autoregressive...