<t>People use RMSE to validate Vasicek model. But I am not sure how to calculate it because RMSE = std deviation ( original yield - forecasted yield) and forecasted yield can have multiple values because it depends on r(t) and r(t) has a random term.Any guidelines on how to calculate it will be real...

<t>Yes I got your point,But I want to re-frame my question.I have developed my vasicek model and want to compare its performance ( How well it predict in the time of uncertainty, which maturity of bonds should I use in predicting)For that I am looking for some statistical technique which will give m...

that link is not working

<t>While implementing Klamna filter some times matrix become singular. After searching internet I came to know Josef form of Klaman filter can mitigate that.Just wanted to know how to implement thatWill replacing old quantion (InitVarY=(I-KalmanGain*H)*VarY; with new one InitVarY=(I-KalmanGain*H)*Va...

<t>Hi,I have developed vasicek model for US term structure and use Kalman filter to estimate parameters. Now I want to see how good my model and parameters are. Few things I can think of few things1. RMSE : simulate vasicek model with obtained parameter and calculate error (actual value- simulated v...

Sorry for the inconviniencePlease find the alternative linkhttp://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.180.1662&rep=rep1&type=pdf

<r>I am trying to implement Vasicek model using Kalman filter using the research paper published by Bank of Canada <URL url="http://www.bankofcanada.ca/en/res/wp/2001/wp01-15a.pdf">http://www.bankofcanada.ca/en/res/wp/2001/wp01-15a.pdf</URL> I am facing problem in maximum likelihood function calcula...

<r>Hi,I am trying to implement Vasicek multifactor model using Kalman filter. It is inspired by bank of Canada research paper <URL url="http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.180.1662&rep=rep1&type=pdf.Also"><LINK_TEXT text="http://citeseerx.ist.psu.edu/viewdoc/do ... e=pdf...