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Fuzzy Regression and the Term Structure of Interest Rates -- A Least Squares Approach

Recent articles by Sanchez and Gomez (2003a, 2003b, 2004) addressed the subject of fuzzy regression (FR) and the term structure of interest rates (TSIR). Their approach relied on possibilistic regression and followed the methodology of Tanaka et. al. (1982). Although possibilistic regression has been used in many applications, it has a number of limitations, not the least of which is its nebulous relation to the least-squares concept. As an alternative to possibilistic regression, this paper uses Diamond's (1988) fuzzy least square regression to investigate the TSIR.