Working paper
A Nonparametric Method For Term Structure Fitting With Automatic Smoothing
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the China’s bond market and its mechanism. Based on the data from China Central Depository & Clearing (CCDC), article gives the result of the computer simulation.
Homogeneous and isotropic with respect to horizontal variables random fields are useful for study of geophysical (in particular, meteorological) functions of spatial-temporal variables. The following horizontal scale (30 — 3000 km), which is induced by the spatial scale of the observing grid for the Earth’s atmosphere and by the power of modern computers for solutions of the system of hydrothermodynamics equations, which included water phase transformations etc, is important for the weather forecast problems.
The correlation functions (CFs) of the random fields may be applied for the following goals:
1) For the optimal interpolation of the meteorological information from the points of observation into the points of a regular finite-difference grid, as well as (for the checking of some observations by other ones) into another point of the observation.
2) For the models’ testing, if a climate model simulates adequately not only mean fields, but the fields of the relative dispersions and CFs, too, then we should consider the climate model as a certain one.
The CFs are evaluated by the global checked archive of meteorological observations by meteorological sounds. A special regularization procedure provides the strong positive definiteness of the CFs. The areas in the Earth atmosphere, where the isotropy hypothesis is essentially not fulfilled, were localized by a special algorithm.
Let us consider an algorithm, which can construct atmospheric fronts that separate so named homogeneous synoptic atmospheric volumes. Then we can evaluate separately CFs for the ensemble of the pairs of points, which are in a unite volume and CFs for the ensemble of the pairs of points, which are in a various volumes. We can see the difference between the different CFs. The difference will be more for a better algorithm. So, we obtain a quality criterion for such algorithms. The statistical approach given possibility to optimize the algorithm with respect to a lot of numerical parameters. The optimal algorithm was exploited in the operative regime in Hydrometeorological Center of Russia. The similar algorithms of numerical construction of boundaries between homogeneous volumes by a discrete set of observations can be realized for various physical media.
A brief derivation of a specific regularization for the magnetic gas dynamic system of equations is given in the case of general equations of gas state (in presence of a body force and a heat source). The entropy balance equation in two forms is also derived for the system. For a constant regularization parameter and under a standard condition on the heat source, we show that the entropy production rate is nonnegative.
The study is carried out within The National Research University Higher School of Economics' Academic Fund Program, grant No. 13-09-0124.
The sixteen-volume set comprising the LNCS volumes 11205-11220 constitutes the refereed proceedings of the 15th European Conference on Computer Vision, ECCV 2018, held in Munich, Germany, in September 2018. The 776 revised papers presented were carefully reviewed and selected from 2439 submissions. The papers are organized in topical sections on learning for vision; computational photography; human analysis; human sensing; stereo and reconstruction; optimization; matching and recognition; video attention; and poster sessions.
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the exist research from 1997 to 2010. Based on the data from China Central Depository & Clearing (CCDC), article gives the computer simulation result of the Hermite interpolation
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