Title of article :
Self-modelling warping functions
Author/Authors :
Gervini، Daniel نويسنده , , Gasser، Theo نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
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)
Journal title :
Journal of Royal Statistical Society (Series B)