An L-Banded Approximation to the Inverse of Symmetric Toeplitz Matrices

DOI10.1515/eqc.2010.002zbMath1247.15028OpenAlexW1509857412MaRDI QIDQ2915350

Antonio Pievatolo, Romain Benassi, Rainer Göb

Publication date: 16 September 2012

Published in: Economic Quality Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/eqc.2010.002

zbMATH Keywords

symmetric Toeplitz matrixmatrix inversioncorrelation matrixbanded matrixtrench matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of matrix inversion and generalized inverses (15A09) Direct numerical methods for linear systems and matrix inversion (65F05) Toeplitz, Cauchy, and related matrices (15B05)

Cites Work

• Decay rates of inverses of banded M-matrices that are near to Toeplitz matrices
• Recursive Relations for Multistep Prediction of a Stationary Time Series
• The Fitting of Time-Series Models
• On the methods for solving Yule-Walker equations
• Matrices with banded inverses: inversion algorithms and factorization of Gauss-Markov processes
• An Algorithm for the Inversion of Finite Toeplitz Matrices
• Shift-register synthesis and BCH decoding

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