Bayesian Estimation of Nelson-Siegel model using rjags R package

#========================================================# # Quantitative ALM, Financial Econometrics & Derivatives  # ML/DL using R, Python, Tensorflow by Sang-Heon Lee  # # https://kiandlee.blogspot.com #——————————————————–# # Nelson-Siegel fitted yield curve using rjags #========================================================# graphics.off()  # clear all graphs rm(list = ls()) # remove all files from your workspace library(rjags) library(coda) # Prepare data mat – c(3, 6, 9, 12, 24, 36, 48, 60, 72,          84, 96, 108, 120, 144, 180, 240) yield – c(5.638781, 5.857775, 6.062339, 6.232739,             6.533613, 6.586592, 6.604274, 6.672092,             6.643833, 6.636791, 6.621937, 6.608467,             6.608286, 6.631803, 6.640675, 6.569184) vnm – c(“beta0”,“beta1”,“beta2”,“la”,“sigma”) Data – list(x = mat, y = yield) # for use inside model Data$y_short – yield[1] Data$y_long  – yield[16] Data$y_mid   – yield[6] # Model string jags.script – “ model{   # priors   beta0 ~ dnorm(y_long,0.01) … Read more

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[This article was first published on r-spatial, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want to share your content on R-bloggers? … Read more

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