The Gaussian Toeplitz matrix (Q1188426): Difference between revisions
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Latest revision as of 10:27, 16 May 2024
scientific article
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English | The Gaussian Toeplitz matrix |
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The Gaussian Toeplitz matrix (English)
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13 August 1992
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Let be \(T_{ij}:=(2\pi\sigma^ 2)^{-1/2}\exp[-(i-j)^ 2/(2\sigma^ 2)]\) for \(i,j=0,1,\dots,N-1\). The authors prove that the matrix \(T:=[T_{ij}]\) is positive definite for all values of \(\sigma>0\) and \(N\geq 1\). Analytic expressions are given for the Cholesky decomposition \(T=LL^ T\), for the determinant of \(T\), and for the inverse \(T^{-1}\). Exact bounds for the eigenvalues of \(T\) are also derived.
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Gaussian Toeplitz matrix
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eigenvalue bounds
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positive definite
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Cholesky decomposition
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determinant
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inverse
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