Forecasting the size distribution of a population of savings accounts: a Markovian approach
Lui Pao, Chuen
Butterworth, Richard W.
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The Markov chain model, with extensions to cover the phenomena of arrivals and departures, was applied to a population of savings accounts, in a savings institution, to forecast the size distribution, total number of accounts and total amount of savings of the population. The stochastic processes governing the behavior of the population were first assumed to be time stationary. This assumption was then relaxed and an econometric model was used to predict future values of the parameters of the non-stationary model. Both models were validated by comparing predicted size distributions, total number of accounts and total amount of savings against observed values. The chi square goodness of fit test was used in the comparison. The fundamental matrix of the stationary model was also used to predict the equilibrium distribution and related measures of the population
Distinguished Alumni Award Program author. Professor Lui Pao Chuen (Presented 29 Mar 02). NPS Hall of Fame author (Presented 28 March 2002)Approved for public release; distribution is unlimited.
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