Partially informative normal and partial spline models

2015 ◽  
Author(s):  
◽  
Sifan Liu

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT REQUEST OF AUTHOR.] There is a well-known Bayesian interpretation of function estimation by spline smoothing using a limit of proper normal priors. This limiting prior has the same form with Partially Informative Normal (PIN), which was introduced in Sun et al. (1999). In this dissertation, we first discuss some properties of PIN. In terms of improper priors, we consider q-vague convergence as the convergence mode. Then, we apply the properties to several extensions of smoothing spline problems. Partial spline model, which contains a non-parametric part as regular smoothing spline together with a linear parametric part, is discussed. We perform simulation studies and applications on yield curves. Specifically, Nelson-Siege (NS) model is considered to construct the linear component. NS partial spline model is used for fitting single yield curve, while partial parallel and non-parallel spline models are used for multiple curves. Then, large p, small n regression problem associated with the generalized univariate smoothing spline, some studies on bin smoothing splines, adaptive smoothing splines and correlated smoothing splines are discussed.

2015 ◽  
Author(s):  
◽  
Xiaojun Tong

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT AUTHOR'S REQUEST.] The term structure of interest rates, also called the yield curve, is the series of interest rates ordered by term to maturity at a given time. The smoothing spline as a nonparametric regression method has been used widely for fitting a smooth curve due to its flexibility and smoothing properties. In this dissertation, a class of Bayesian smoothing spline models is developed for the yield curve estimation under different scenarios. These include the Bayesian smoothing spline model for estimating the Treasury yield curves, the Bayesian multivariate smoothing spline model for estimating multiple yield curves jointly, the Bayesian adaptive smoothing spline model for dealing with the yield data in which the smoothness varies significantly, the Bayesian smoothing spline model for extracting the zero-coupon yield curve from coupon bond prices, and the Bayesian thin-plate splines for modeling the yield curves on both the calendar time and the maturity. In addition, the Bayesian model selection in the smoothing spline models is developed to test the nonlinearity of the yield curves.


2014 ◽  
Vol 9 (2) ◽  
pp. 397-424 ◽  
Author(s):  
Yu Ryan Yue ◽  
Daniel Simpson ◽  
Finn Lindgren ◽  
Håvard Rue

Author(s):  
K Masood ◽  
M T Mustafa

A smoothing spline-based method and a hyperbolic heat conduction model is applied to regularize the recovery of the initial profile from a parabolic heat conduction model in two-dimensions. An ill-posed inverse problem involving recovery of the initial temperature distribution from measurements of the final temperature distribution is investigated. A hyperbolic heat conduction model is considered instead of a parabolic model and smoothing splines are applied to regularize the recovered initial profile. The comparison of the proposed procedure and parabolic model is presented graphically by examples.


2012 ◽  
Vol 24 (3) ◽  
pp. 665-680
Author(s):  
Heeyoung Kim ◽  
Xiaoming Huo

1992 ◽  
Vol 43 (1-2) ◽  
pp. 45-53 ◽  
Author(s):  
Joan G. Staniswalis ◽  
Brian S. Yandell

2021 ◽  
Vol 13 (5) ◽  
pp. 9
Author(s):  
Anwen Yin

We propose using the nonlinear method of smoothing splines in conjunction with forecast combination to predict the market equity premium. The smooth splines are flexible enough to capture the possible nonlinear relationship between the equity premium and predictive variables while controlling for complexity, overcoming the difficulties often attached to nonlinear methods such as computational cost, overfitting and interpretation. Our empirical results show that when used with forecast combination, the smoothing spline forecasts outperform many competing methods such as the adaptive combinations, shrinkage estimators and technical indicators, in delivering statistical and economic gains consistently.


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