A semiparametric factor model for CDO surfaces dynamics.

Barbara Choros-Tomczyk Wolfgang Karl Härdle Ostap Okhrin

Published in: J. Multivar. Anal. (2016)

Keyphrases

semi parametric
density estimation
statistical inference
least squares
constrained optimization
linear model
parametric models
data sets
three dimensional
closed form
neural network
unsupervised learning
range data
bayesian inference