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Hi guys I have data that contains the variances vt of the yields of 1, 2, 3, 4, 5,10, 20 year bonds. Assuming the Hull-White model for the yield of a t-year zero-coupon bond, I have to estimate the ? of the Hull-White model using nonlinear least squares and give a 95% con?dence interval for each parameter. Please can you guys tell how to find out ? using R. Any suggestion regarding what functions to use etc would be very helpful. Thanks -- View this message in context: http://n4.nabble.com/R-Hull-White-model-using-nonlinear-least-squares-tp949700p949700.html Sent from...

...effects but differing in the random effects (only intercept, intercept + X, intercept +X +X2). The anova shows that all three parameters vary significantly (p<0.001) across groups. I have therefore chosen the third model, in which all three parameters vary. When I attempted to obtain the confidence intervals for the correlations between the random components, using: intervals(fit3,which="var-cov") I get the following error message: Problem in intervals.lme(fit3, which = "var..: Cannot get confi dence intervals on var-cov components: Non-positive definite ap proxi...