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Functional dynamic factor models with application to yield curve forecasting
Functional data analysis expectation maximization algorithm natural cubic splines cross-validation roughness penalty
2012/11/23
Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasti...
Consistency of Functional Learning Methods Based on Derivatives
Functional Data Analysis Consistency Statistical learning Derivatives SVM Smoothing splines RKHS Kernel
2011/6/15
In some real world applications, such as spectrometry, functional models
achieve better predictive performances if they work on the derivatives of order
m of their inputs rather than on the original...