Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Stochastic structures of world's death counts after World War II

  • Lee, Jae J. (School of Business, State University of New York)
  • Received : 2021.11.04
  • Accepted : 2021.12.22
  • Published : 2022.05.31
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Abstract

This paper analyzes death counts after World War II of several countries to identify and to compare their stochastic structures. The stochastic structures that this paper entertains are three structural time series models, a local level with a random walk model, a fixed local linear trend model and a local linear trend model. The structural time series models assume that a time series can be formulated directly with the unobserved components such as trend, slope, seasonal, cycle and daily effect. Random effect of each unobserved component is characterized by its own stochastic structure and a distribution of its irregular component. The structural time series models use the Kalman filter to estimate unknown parameters of a stochastic model, to predict future data, and to do filtering data. This paper identifies the best-fitted stochastic model for three types of death counts (Female, Male and Total) of each country. Two diagnostic procedures are used to check the validity of fitted models. Three criteria, AIC, BIC and SSPE are used to select the best-fitted valid stochastic model for each type of death counts of each country.

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