f_ns: Compute the Nelson-Siegel Curves

In drkowal/FDLM: A Bayesian Multivariate Functional Dynamic Linear Model

Description

Compute the three Nelson-Siegel curves at a given vector of points

Usage

f_ns(tau, lambda_p = 0.0609)

Arguments

tau	the m x 1 vector of observation points (in months)
lambda	the nonlinear parameter

Value

The m x 3 matrix of Nelson-Siegel curves evaluated at tau

Examples

tau = 1:300
F_ns = f_ns(tau)
plot(tau, F_ns[,1], ylim = range(F_ns), type='l', lwd=4)
for(j in 2:3) lines(tau, F_ns[,j], lwd=4,lty=j)

drkowal/FDLM documentation built on May 20, 2019, 5:20 p.m.