Search found 1 match
- Thu Mar 06, 2014 2:27 am
- Forum: Estimation
- Topic: Question relate to Nonlinear Least Squares
- Replies: 1
- Views: 2506
Question relate to Nonlinear Least Squares
I want to estimate the Nelson-Siegel model using Nonlinear Least Squares. The Nelson-Siegel model is defined as yield=c(1)+c(2)*((1-exp(-c(4)*maturity))/c(4)*maturity)+c(3)*(((1-exp(-c(4)*maturity))/c(4)*maturity)-exp(c(4)*maturity)) where the data looks like yield=[0.2, 0.4, 0.3, 0.6, 0.25, 0.1, 0....