Computationally efficient cholesky factorization of a covariance matrix with block toeplitz structure
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Cites work
- Analysis of a recursive least squares hyperbolic rotation algorithm for signal processing
- Computationally exploitable structure of covariance matrices and generalized convariance matrices in spatial models
- Error and Perturbation Bounds for Subspaces Associated with Certain Eigenvalue Problems
- Estimation of covariance parameters in Kriging via restricted maximum likelihood
- Fast Parallel Algorithms for QR and Triangular Factorization
- scientific article; zbMATH DE number 4213315 (Why is no real title available?)
- scientific article; zbMATH DE number 3473182 (Why is no real title available?)
- Hyperbolic Householder Algorithms for Factoring Structured Matrices
- Least Squares Computations by Givens Transformations Without Square Roots
- Maximum likelihood estimation of models for residual covariance in spatial regression
- Modality of the restricted likelihood for spatial Gaussian random fields
- On multimodality of the likelihood in the spatial linear model
- Parallel solution of symmetric positive definite systems with hyperbolic rotations
- Perturbation Bounds for the $QR$ Factorization of a Matrix
- Schur Parametrization of Positive Definite Block-Toeplitz Systems
- Squared Givens Rotation
- Stability of Methods for Solving Toeplitz Systems of Equations
- The Numerical Stability of the Levinson-Durbin Algorithm for Toeplitz Systems of Equations
Cited in
(13)- Sparse matrix tools for Gaussian models on lattices
- High resolution simulation of nonstationary Gaussian random fields
- Some results on unilateral ARMA lattice processes
- Efficient implementation of some contextual classification methods
- Fast Triangular Factorization of Covariance Matrices of Differenced Time Series
- Computationally exploitable structure of covariance matrices and generalized convariance matrices in spatial models
- Fast cholesky factorization algorithm for s. p. d block-Toeplitz matrices
- Recursive computation for block-nested covariance matrices
- Generating correlated gaussian random fields by orthogonal polynomial approximations to the square root of the covariance matrix
- Two-way ANOVA by using Cholesky decomposition and graphical representation
- Computationally efficient generation of Gaussian conditional simulations over regular sample grids
- Efficient computation of linearized cross-covariance and auto-covariance matrices of interdependent quantities
- Sum of Kronecker products representation and its Cholesky factorization for spatial covariance matrices from large grids
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