Fourier estimation method applied to forward interest rates.

Nien-Lin Liu Maria Elvira Mancino

Published in: JSIAM Lett. (2012)

Keyphrases

high accuracy
detection method
segmentation method
dynamic programming
preprocessing
estimation process
fourier domain
clustering method
support vector machine
probabilistic model
pairwise
computationally efficient
cost function
prior knowledge
high precision
objective function
polar coordinates