Fast Approximation of Dominant Harmonics

DOI10.1137/0905024zbMath0554.65098OpenAlexW2008160373MaRDI QIDQ3217574

George Cybenko

Publication date: 1984

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0905024

zbMATH Keywords

discrete Fourier transformspectral analysiscirculant matrixtime series analysisLanczos algorithmlinear predictioneigenvalue approximationexponential approximationautoregressive schemedominant harmonics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for trigonometric approximation and interpolation (65T40) Probabilistic methods, stochastic differential equations (65C99)

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