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TWO ESSAYS IN BAYESIAN PENALIZED SPLINES

LI, MIN
http://rave.ohiolink.edu/etdc/view?acc_num=ucin1029342150

Abstract Details

2002, PhD, University of Cincinnati, Business Administration : Quantitative Analysis.
Spline curve fitting has attracted a great deal of attention in recent years. It is a powerful method for fitting nonlinear models when the true mean functions are unknown and need to be estimated. This dissertation consists of two essays in Bayesian penalized splines estimation. In the first essay, we propose Bayesian Adaptive Penalized Splines (BAPS), combining features of both penalized splines and regression splines. We first outline a hierarchical Bayesian approach to penalized splines using Markov Chain Monte Carlo for fixed locations of spline knots. We then propose Bayesian Adaptive Penalized Splines, employing a reversible jump Markov Chain Monte Carlo algorithm to adaptively and Simultaneously select the number of knots, the locations of knots, and the smoothing parameter. BAPS is applied to real examples and compares favorably with competing methods in simulation studies. The second essay provides a Bayesian approach to estimating Treasury and corporate term structures with a penalized spline model. First, we estimate the Treasury term structure with a Bayesian penalized spline model, considering both normal and double exponential disturbances. We then estimate the corporate term structure by adding a spread to the estimated Treasury term structure, incorporating the knowledge of positive credit spread into our Bayesian model as informative priors. This is the first work using a Bayesian approach in the term structure literature and several advantages for adopting such an approach are presented.
Dr. Yan Yu (Advisor)
Statistics
smoothing; spline; reversible jump Markov Chain Monte Carlo; credit spreads; forward rates

Recommended Citations

Citations

  • LI, M. (2002). TWO ESSAYS IN BAYESIAN PENALIZED SPLINES [Doctoral dissertation, University of Cincinnati]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1029342150

    APA Style (7th edition)

  • LI, MIN. TWO ESSAYS IN BAYESIAN PENALIZED SPLINES. 2002. University of Cincinnati, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=ucin1029342150.

    MLA Style (8th edition)

  • LI, MIN. "TWO ESSAYS IN BAYESIAN PENALIZED SPLINES." Doctoral dissertation, University of Cincinnati, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1029342150

    Chicago Manual of Style (17th edition)

ucin1029342150
1,155
© 2002, all rights reserved.
This open access ETD is published by University of Cincinnati and OhioLINK.
Release 3.2.12