Title of article
Self-modelling warping functions
Author/Authors
Gervini، Daniel نويسنده , , Gasser، Theo نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
-958
From page
959
To page
0
Abstract
The paper introduces a semiparametric model for functional data. The warping functions are assumed to be linear combinations of q common components, which are estimated from the data (hence the name ‘self-modelling’). Even small values of q provide remarkable model flexibility, comparable with nonparametric methods. At the same time, this approach avoids overfitting because the common components are estimated combining data across individuals. As a convenient by-product, component scores are often interpretable and can be used for statistical inference (an example of classification based on scores is given).
Keywords
Term structure of interest rates , Yield curve , General equilibrium , Leading indicators
Journal title
Journal of Royal Statistical Society (Series B)
Serial Year
2004
Journal title
Journal of Royal Statistical Society (Series B)
Record number
85001
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