Fast Triangular Factorization of Covariance Matrices of Differenced Time Series

DOI10.1137/0614073zbMath0788.65147OpenAlexW1983200905MaRDI QIDQ3142614

Rajiv Vijayan, H. Vincent Poor

Publication date: 30 May 1994

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0614073

zbMATH Keywords

covariance matrixdifference operatorsdigital signal processingstationary time seriestriangular factorizationToeplitz-like matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Direct numerical methods for linear systems and matrix inversion (65F05) Probabilistic methods, stochastic differential equations (65C99)

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