A Douglas-Rachford splitting algorithm with closed-form projection computes substantially sparser symmetric generalized inverses than the Moore-Penrose pseudoinverse for sparse symmetric matrices.
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Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.
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Sparse symmetric generalized inverses for sparse symmetric matrices
A Douglas-Rachford splitting algorithm with closed-form projection computes substantially sparser symmetric generalized inverses than the Moore-Penrose pseudoinverse for sparse symmetric matrices.
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Advanced Calibration Analysis and Tools: Identifying Influential Observations in Stochastic Interest Rate Model Calibration
Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.