Fast Approximation of Dominant Harmonics

DOI10.1137/0905024MaRDI QIDQ3217574zbMATH OpenOpenAlexFDO

Authors George Cybenko

Publication date 1984

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0905024

zbMATH Keywords

autoregressive schemecirculant matrixdiscrete Fourier transformdominant harmonicseigenvalue approximationexponential approximationLanczos algorithmlinear predictionspectral analysistime series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical methods for trigonometric approximation and interpolation (65T40)

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Cited in

(3)

• On the construction of Szegő polynomials
• ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS
• Superposition, reduction of multivariable problems, and approximation

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