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.
Stahel and Sanford Weisberg, editors.Directions in Robust Statistics and Diagnos- tics: Part II, volume 34 ofThe IMA Volumes in Mathematics and its Applications
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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.