Coherence Structure and Its Application in Mortality Forecasting

Interaction terms expressed as products of covariates may prove useful in regression problems. A graphical method is presented for identifying potentially useful interaction and related covariates in modeling mortality time series using lagged coherence, a nonlinear extension of the squared coherence, and its residual coherence offshoot. The identified covariates are tested for their significance within a regression model using quasi-likelihood and log link.