Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability

Robert Flassig, Emrah Gülay, Daniel Guterding

The Nelson-Siegel-Svensson (NSS) interest rate curve model yields a separable nonlinear least-squares problem whose inner linear block is often ill-conditioned because the basis fu…