Generalized Rybicki Press algorithm

DOI10.1002/nla.2003zbMath1374.65078arXiv1409.7852OpenAlexW2963033836MaRDI QIDQ5739744

Sivaram Ambikasaran

Publication date: 19 July 2016

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.7852

zbMATH Keywords

linear complexityCARMA processesfast direct solversemi-separable matricesexponential covariancefast determinant computationRybicki Press algorithm

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Numerical computation of determinants (65F40) Analysis of variance and covariance (ANOVA) (62J10)

Uses Software

• COLAMD
• Matlab
• SuperLU
• Eigen
• symamd
• GitHub
• ESS

Cites Work

• Unnamed Item
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• A Supernodal Approach to Sparse Partial Pivoting
• Fast and Stable Algorithms for Banded Plus Semiseparable Systems of Linear Equations
• Introduction to Time Series and Forecasting
• Algorithm 836
• The Inverse of a Certain Matrix, with an Application
• Lévy-driven CARMA processes

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