Forecasting multiple density-valued time series

@misc{shang2026forecasting,
  title = {{Forecasting multiple density-valued time series}},
  author = {Han Lin Shang},
  howpublished = {arXiv},
  year = {2026},
  month = oct,
  doi = {10.48550/arxiv.2610.00215},
  eprint = {2610.00215},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2610.00215},
  note = {CC BY-NC-SA 4.0},
}

TY  - UNPB
TI  - Forecasting multiple density-valued time series
AU  - Han Lin Shang
PY  - 2026
DA  - 2026/10/01
PB  - arXiv
DO  - 10.48550/arxiv.2610.00215
UR  - https://arxiv.org/abs/2610.00215
AB  - Density-valued time series are common in practice. However, since these functions are non-negative and must integrate to one, they do not form a linear vector space, which complicates the direct application of standard time-series methods. To address these constraints, we introduce two transformations, based on the centered log-ratio transformation and the cumulative distribution function, for modeling and forecasting balanced panel data represented by multiple densities. Both transformations map densities bijectively into an unconstrained function space in which cross-sectional and serial dependence can be modeled directly. Within the resulting unconstrained space, we consider two approaches: multi-population functional time-series modeling to account for correlations among populations, and gap modeling between gender and region. Using Japanese subnational age-specific life-table death counts from 1973 to 2024, we evaluate and compare the one- to 20-step-ahead point and interval forecast accuracy of the two approaches for each transformation, and offer some general recommendations.
ER  -