Thursday, September 2, 2010

My mathematical model of the Yield Curve

I take NGDP numbers going back 40 years.  I compute the Fourier spectrum of that, then window that with something shaped like the potential production spectrum. Then entropy code the resulting spectrum into six bit values. The resulting plot should look something like a UEC yield curve. Each bit of my six bit number representing one of the active terms.  There is a proof that makes this true, somewhere.

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