On the Complexity of the Preconditioned Conjugate Gradient Algorithm for Solving Toeplitz Systems with a Fisher--Hartwig Singularity

DOI10.1137/040612117zbMath1106.65027OpenAlexW2077435672MaRDI QIDQ5470482

Yi Lu, Clifford M. Hurvich

Publication date: 31 May 2006

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

Full work available at URL: https://doi.org/10.1137/040612117

zbMATH Keywords

time seriespreconditioningcondition numberToeplitz matrixcovariance matrixcirculant matrixspectral densityexpected periodogram

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Iterative numerical methods for linear systems (65F10) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

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