Fast iterative methods for least squares estimations

DOI10.1007/BF02142678zbMath0796.65150OpenAlexW2074952847MaRDI QIDQ1319865

Raymond Honfu Chan, Michael Kwok-Po Ng

Publication date: 10 October 1994

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02142678

zbMATH Keywords

numerical experimentsToeplitz matrixleast squares problemcirculant matrixpreconditioned conjugate gradient methodsuperlinear convergencecirculant preconditionersToeplitz systemsdiscrete-time stationary processcorrelation methodcovariance methodleast squares estimationspost- windowed methodpre-windowed methodwindowing methodsYule-Walker type systems

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Stationary stochastic processes (60G10) Iterative numerical methods for linear systems (65F10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

Circulant integral operators as preconditioners for Wiener-Hopf equations ⋮ FFT-based exponentially weighted recursive least squares computations ⋮ Scientific applications of iterative Toeplitz solvers

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