Approximation for the inverse of Toeplitz matrices with applications to stationary processes

DOI10.1016/0024-3795(90)90333-8zbMath0695.15003OpenAlexW2053638336MaRDI QIDQ909745

Rainer Dahlhaus

Publication date: 1990

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(90)90333-8

zbMATH Keywords

Whittle approximationinverse of symmetric Toeplitz matrices

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Hermitian, skew-Hermitian, and related matrices (15B57)

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Cites Work

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• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
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• Approximations for stationary covariance matrices and their inverses with application to ARMA models
• The evaluation of certain quadratic forms occurring in autoregressive model fitting
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
• Estimation and information in stationary time series
• Autoregressive and window estimates of the inverse correlation function

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