|
|||||
|
|
Perturbation Analysis of Structured Least Squares Problems and Its Application in Calibration of Interest Rate Term Structure |
|
| Authors: | Chen Zhao Weiguo Gao Jungong Xue |
| Affiliation: | School of Mathematical Sciences, Fudan University, Shanghai 200433, China |
| Abstract: | A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline.Numerical experiments are given to illustrate the sharpness of this bound. |
| Keywords: | Linear least squares problem perturbation analysis Moore-Penrose inverse cubic spline curve fitting interest rate term structure. |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |