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  • 标题:Polynomial Representations for a Wavelet Model of Interest Rates
  • 本地全文:下载
  • 作者:Dennis G. Llemit
  • 期刊名称:Asia Pacific Journal of Multidisciplinary Research
  • 印刷版ISSN:2350-7756
  • 电子版ISSN:2350-8442
  • 出版年度:2015
  • 卷号:5.3
  • 期号:7351
  • 页码:62-71
  • 语种:
  • 出版社:Lyceum of the Philippines University - Batangas
  • 摘要:In this paper, we approximate a non – polynomial function which promises to be an essential tool in interest rates forecasting in the Philippines. We provide two numerical schemes in order to generate polynomial functions that approximate a new wavelet which is a modification of Morlet and Mexican Hat wavelets. The first is the Polynomial Least Squares method which approximates the underlying wavelet according to desired numerical errors. The second is the Chebyshev Polynomial approximation which generates the required function through a sequence of recursive and orthogonal polynomial functions. We seek to determine the lowest order polynomial representations of this wavelet corresponding to a set of error thresholds.
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