Thanks for the paper! It is very interesting.Your application may or may not be related to yield curve fitting, but either way this classic from the Great Dane is worth a look: https://papers.ssrn.com/sol3/papers.cfm ... _id=871088
What problem are you trying to solve? Do you want monotonicity and convexity?Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.
What about Stineman interpolation ( https://pages.uoregon.edu/dgavin/software/stineman.pdf )?Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.
Thanks!Akima
Hyman-Dougherty
Thanks! I'll see it.
In the book "C# In Financial Markets (Wiley)" I wrote with Andrea Germani we discuss about 7 methods for fixed-income. The most robust for us were Dougherty/Hyman, Akima and Hagan/West (I would avoid cubic splines in this context).Thanks!Akima
Hyman-Dougherty
"Akima" has a lot of meanings in google, could you provide more details please?
I found this paper https://www.researchgate.net/publicatio ... erpolation (I haven't looked it yet).
"Do you want monotonicity and convexity?"
Yes I need monotonicity, convexity as main constraints and some others. Now I solve it as cubic spline + linear constraints and it works for me. But it seems very unnatural make cubic spline behave convex.
The curve in the cubic model reaches its peak in mid-April and swoops back down through the end of May.To better visualize observed data, we also continually update a curve-fitting exercise to summarize COVID-19's observed trajectory. Particularly with irregular data, curve fitting can improve data visualization. As shown, IHME's mortality curves have matched the data fairly well. pic.twitter.com/NtJcOdA98R
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Hello. I can provide that quite easily with support vector machines, whatever the dimension is. Could you describe more precisely the fitting curve ?Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.
NDA. BTW can you reproduce the wacky output?Hello. I can provide that quite easily with support vector machines, whatever the dimension is. Could you describe more precisely the fitting curve ?Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.
? I dont understand your answer cuchullain. Could you precise please ?NDA. BTW can you reproduce the wacky output?Hello. I can provide that quite easily with support vector machines, whatever the dimension is. Could you describe more precisely the fitting curve ?Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.
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