ycevo - Nonparametric Estimation of the Yield Curve Evolution
Nonparametric estimation of discount functions and yield curves from transaction data of coupon paying bonds. Koo, B., La Vecchia, D., & Linton, O. B. (2021) <doi:10.1016/j.jeconom.2020.04.014> describe an application of this package using the Center for Research in Security Prices (CRSP) Bond Data and document its implementation.
Last updated 5 months ago
4.62 score 6 stars 3 scripts 179 downloadsRRRR - Online Robust Reduced-Rank Regression Estimation
Methods for estimating online robust reduced-rank regression. The Gaussian maximum likelihood estimation method is described in Johansen, S. (1991) <doi:10.2307/2938278>. The majorisation-minimisation estimation method is partly described in Zhao, Z., & Palomar, D. P. (2017) <doi:10.1109/GlobalSIP.2017.8309093>. The description of the generic stochastic successive upper-bound minimisation method and the sample average approximation can be found in Razaviyayn, M., Sanjabi, M., & Luo, Z. Q. (2016) <doi:10.1007/s10107-016-1021-7>.
Last updated 2 years ago
4.18 score 3 stars 10 scripts 202 downloadsflap - Forecast Linear Augmented Projection
The Forecast Linear Augmented Projection (flap) method reduces forecast variance by adjusting the forecasts of multivariate time series to be consistent with the forecasts of linear combinations (components) of the series by projecting all forecasts onto the space where the linear constraints are satisfied. The forecast variance can be reduced monotonically by including more components. For a given number of components, the flap method achieves maximum forecast variance reduction among linear projections.
Last updated 5 months ago
3.54 score 1 stars 2 scripts 216 downloads