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Mortality Forecasting Using Variational Inference
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: 0000-0001-7235-384x
Number of Authors: 22026 (English)In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 45, no 3, p. 1069-1076Article in journal (Refereed) Published
Abstract [en]

This paper considers the problem of forecasting mortality rates. A large number of models have already been proposed for this task, but they generally have the disadvantage of either estimating the model in a two-step process, possibly losing efficiency, or relying on methods that are cumbersome for the practitioner to use. We instead propose using variational inference and the probabilistic programming library Pyro for estimating the model. This allows for flexibility in modelling assumptions while still being able to estimate the full model in one step. The models are fitted on Swedish mortality data, and we find that the in-sample fit is good and that the forecasting performance is better than other popular models. Code is available online (https://github.com/LPAndersson/VImortality).

Place, publisher, year, edition, pages
2026. Vol. 45, no 3, p. 1069-1076
Keywords [en]
hidden Markov model, mortality forecasting, nonlinear state-space models, variational inference
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:su:diva-251011DOI: 10.1002/for.70078ISI: 001631210500001Scopus ID: 2-s2.0-105023975704OAI: oai:DiVA.org:su-251011DiVA, id: diva2:2030595
Available from: 2026-01-21 Created: 2026-01-21 Last updated: 2026-03-25Bibliographically approved

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Lindholm, Mathias

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