The Gaussian Toeplitz matrix (Q1188426)

Let be \(T_{ij}:=(2\pi\sigma^ 2)^{-1/2}\exp[-(i-j)^ 2/(2\sigma^ 2)]\) for \(i,j=0,1,\dots,N-1\). The authors prove that the matrix \(T:=[T_{ij}]\) is positive definite for all values of \(\sigma>0\) and \(N\geq 1\). Analytic expressions are given for the Cholesky decomposition \(T=LL^ T\), for the determinant of \(T\), and for the inverse \(T^{-1}\). Exact bounds for the eigenvalues of \(T\) are also derived.