Matrices with banded inverses: inversion algorithms and factorization of Gauss-Markov processes
DOI10.1109/18.954748zbMath0998.65037OpenAlexW2151757774MaRDI QIDQ4501738
Aleksandar Kavčić, José M. F. Moura
Publication date: 7 September 2000
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/18.954748
Hadamard productcovariance matrixtridiagonal matrixmatrix inversionKullback-Leibler distanceCholesky decompositionGauss-Markov processespotential matrixbanded matrixmaximum-entropy method\(L\)-band complementinhomogeneous autoregressive processesnested inversion algorithm
Computational methods for sparse matrices (65F50) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40) Analysis of variance and covariance (ANOVA) (62J10) Direct numerical methods for linear systems and matrix inversion (65F05)
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