2 papers
stat.AP2025
Forecasting the Term Structure of Interest Rates with SPDE-Based Models
Qihao Duan, Alexandre B. Simas, David Bolin +1
The Dynamic Nelson--Siegel (DNS) model is a widely used framework for term structure forecasting. We propose a novel extension that models DNS residuals as a Gaussian random field,…
stat.ME2025
Intrinsic Whittle--Matérn fields and sparse spatial extremes
David Bolin, Peter Braunsteins, Sebastian Engelke +1
Intrinsic Gaussian fields are used in many areas of statistics as models for spatial or spatio-temporal dependence, or as priors for latent variables. However, there are two major…