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McCulloch J H. Measuring the term structure of interest rates[J]. The Journal of Business, 1971, 44(1): 19-31.
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[2] |
Xiao Nan, Cheng Xijun.Fitting term structure of interest rate of domestic bonds market by robust spline[J].Systems Engineering, 2007, 25(6): 35-40.萧楠,程希骏.抗差样条模型对我国国债利率期限结构的建模与实证[J].系统工程,2007,25(6):35-40.
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[3] |
Sun Zengxian, Cheng Xijun, Ma Lijun, et al. Fitting term structure of interest rate with splines based on quantile regression[J].Systems Engineering, 2008, 26(11): 6-10.孙增献,程希骏,马利军,等. 基于分位数回归的样条函数法拟合国债利率期限结构[J]. 系统工程, 2008, 26(11): 6-10.
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[4] |
Li Yiyi, Pan Wanbin, Miao Baiqi. Knot selection of estimating the term structure with cubit spline function[J]. Systems Engineering Theory & Practice, 2009, 29(4): 28-33.李熠熠,潘婉彬,缪柏其. 基于三次样条的利率期限结构估计中的节点选择[J]. 系统工程理论与实践,2009,29(4): 28-33.
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[5] |
Li Yiyi,Pan Wanbin,Miao Baiqi. Knot selection of estimating the term structure with cubit spline function based on LAD-Lasso criterion[J]. Journal of University of Science and Technology of China, 2010, 40(6): 551-556.李熠熠,潘婉彬,缪柏其. 基于LAD-Lasso方法的利率期限结构拟合中的节点选择[J].中国科学技术大学学报,2010,40(6):551-556.
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[6] |
Fan Jianqing, Yao Qiwei. Nonlinear Time Series: Nonparametric and Parametric Methods[M]. New York: Springer, 2003.
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[7] |
Fan J, Li R. Variable selection via nonconcave penalized likelihood and its oracle properties[J]. Journal of the American Statistical Association, 2001, 96(456): 1 348-1 360.
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[8] |
Wu Y, Liu Y. Variable selection in quantile regression[J]. Statistica Sinica, 2009, 19(2): 801-817.
|
[9] |
Wang H, Li R, Tsai C L. Tuning parameter selectors for the smoothly clipped absolute deviation method[J]. Biometrika, 2007, 94(3): 553-568.
|
[10] |
Le Thi Hoai A, Tao P D. Solving a class of linearly constrained indefinite quadratic problems by DC algorithms[J]. Journal of Global Optimization, 1997, 11(3): 253-285.
|
[1] |
McCulloch J H. Measuring the term structure of interest rates[J]. The Journal of Business, 1971, 44(1): 19-31.
|
[2] |
Xiao Nan, Cheng Xijun.Fitting term structure of interest rate of domestic bonds market by robust spline[J].Systems Engineering, 2007, 25(6): 35-40.萧楠,程希骏.抗差样条模型对我国国债利率期限结构的建模与实证[J].系统工程,2007,25(6):35-40.
|
[3] |
Sun Zengxian, Cheng Xijun, Ma Lijun, et al. Fitting term structure of interest rate with splines based on quantile regression[J].Systems Engineering, 2008, 26(11): 6-10.孙增献,程希骏,马利军,等. 基于分位数回归的样条函数法拟合国债利率期限结构[J]. 系统工程, 2008, 26(11): 6-10.
|
[4] |
Li Yiyi, Pan Wanbin, Miao Baiqi. Knot selection of estimating the term structure with cubit spline function[J]. Systems Engineering Theory & Practice, 2009, 29(4): 28-33.李熠熠,潘婉彬,缪柏其. 基于三次样条的利率期限结构估计中的节点选择[J]. 系统工程理论与实践,2009,29(4): 28-33.
|
[5] |
Li Yiyi,Pan Wanbin,Miao Baiqi. Knot selection of estimating the term structure with cubit spline function based on LAD-Lasso criterion[J]. Journal of University of Science and Technology of China, 2010, 40(6): 551-556.李熠熠,潘婉彬,缪柏其. 基于LAD-Lasso方法的利率期限结构拟合中的节点选择[J].中国科学技术大学学报,2010,40(6):551-556.
|
[6] |
Fan Jianqing, Yao Qiwei. Nonlinear Time Series: Nonparametric and Parametric Methods[M]. New York: Springer, 2003.
|
[7] |
Fan J, Li R. Variable selection via nonconcave penalized likelihood and its oracle properties[J]. Journal of the American Statistical Association, 2001, 96(456): 1 348-1 360.
|
[8] |
Wu Y, Liu Y. Variable selection in quantile regression[J]. Statistica Sinica, 2009, 19(2): 801-817.
|
[9] |
Wang H, Li R, Tsai C L. Tuning parameter selectors for the smoothly clipped absolute deviation method[J]. Biometrika, 2007, 94(3): 553-568.
|
[10] |
Le Thi Hoai A, Tao P D. Solving a class of linearly constrained indefinite quadratic problems by DC algorithms[J]. Journal of Global Optimization, 1997, 11(3): 253-285.
|