Andre de Boer writes:
In my profession as a risk manager I encountered this graph:
I can’t figure out what kind of regression this is, would you be so kind to enlighten me?
The points represent (maturity,yield) of bonds.
My reply: That’s a fun problem, reverse-engineering a curve fit! My first guess is lowess, although it seems too flat and asympoty on the right side of the graph to be lowess. Maybe a Gaussian process? Looks too smooth to be a spline. I guess I’ll go with my original guess, on the theory that lowess is the most accessible smoother out there, and if someone fit something much more complicated they’d make more of a big deal about it. On the other hand, if the curve is an automatic output of some software (Excel? Stata?) then it could be just about anything.
Does anyone have any ideas?