On the de-facto convex structure of a least square problem for estimating the term structure of interest rates
From MaRDI portal
Publication:1000400
DOI10.1007/BF00868009zbMath1153.91761MaRDI QIDQ1000400
Publication date: 6 February 2009
Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)
term structure of interest rates; nonconvex minimization problem; Carleton-Coopers method; constrained least square problem
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B82: Statistical methods; economic indices and measures