Dynamic functional data analysis with non-parametric state space models
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Publication:5128569
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Cites work
- A note on interest rate term structure estimation using tension splines
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
- Applied functional data analysis. Methods and case studies
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Bayesian Measures of Model Complexity and Fit
- Constrained smoothing \(B\)-splines for the term structure of interest rates
- Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation
- Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
- Forecasting functional time series
- Forecasting the term structure of government bond yields
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- Functional linear regression analysis for longitudinal data
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 45848 (Why is no real title available?)
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- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Identifying the finite dimensionality of curve time series
- Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
- Nonparametric functional data analysis. Theory and practice.
- Nonparametric option pricing under shape restrictions
- Robust forecasting of mortality and fertility rates: a functional data approach
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The affine arbitrage-free class of Nelson-Siegel term structure models
- The Hodrick-Prescott filter: a special case of penalized spline smoothing
- Yield curve estimation by kernel smoothing methods
Cited in
(5)- Dynamic regression models for time-ordered functional data
- Long-range dependent curve time series
- Lasso in Infinite dimension: application to variable selection in functional multivariate linear regression
- Functional Autoregression for Sparsely Sampled Data
- Fractionally integrated curve time series with cointegration
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