Volume 16, Issue 4
Perturbation Analysis of Structured Least Squares Problems and Its Application in Calibration of Interest Rate Term Structure

C. Zhao ,  W. G. Gao and J. G. Xue

Numer. Math. J. Chinese Univ. (English Ser.)(English Ser.) 16 (2007), pp. 383-392

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  • 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.

  • History

Published online: 2007-11

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