Block circulant matrices and the spectra of multivariate stationary sequences

DOI10.1515/spma-2020-0121zbMath1464.62374OpenAlexW3125868907MaRDI QIDQ2663703

Marianna Bolla, Máté Baranyi, Fatma Abdelkhalek, Tamas Szabados

Publication date: 19 April 2021

Published in: Special Matrices (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/spma-2020-0121

zbMATH Keywords

finite Fourier transformblock Cholesky decompositionweakly stationary time seriesautocovariance and spectral density matrixcomplex principal components

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Fourier series and coefficients in several variables (42B05) Toeplitz, Cauchy, and related matrices (15B05)

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