Convergence rates for inverse Toeplitz matrix forms (Q581984): Difference between revisions

Convergence rates for Toeplitz matrix forms are known, see e.g. \textit{E. J. Hannan} and \textit{D. F. Nicholls}, J. Am. Stat. Assoc. 72, 834-840 (1977; Zbl 0372.62069), as well as \textit{P. Butzer} and \textit{R. Nessel} Fourier analysis and approximation. Vol. 1, One-dimensional theory. (1971; Zbl 0217.426). The purpose of this paper is to establish analogous results for inverse p-dimensional spectral density matrices \(\Phi (\omega)^{-1}\), where \(\Phi (\omega)\geq cI>0\) for all \(\omega\in [0,2\pi]\) and \(\Phi^{(r)}(\omega)\in Lip^*(\alpha)\). Applications in analysing asymptotic variance properties of higher-order estimates in system identification and time serie analysis are discussed.