Fast Triangular Factorization of Covariance Matrices of Differenced Time Series

DOI10.1137/0614073MaRDI QIDQ3142614zbMATH OpenOpenAlexFDO

Authors Rajiv Vijayan, H. Vincent Poor

Publication date 30 May 1994

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0614073

zbMATH Keywords

covariance matrixdifference operatorsdigital signal processingstationary time seriesToeplitz-like matricestriangular factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Direct numerical methods for linear systems and matrix inversion (65F05)

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• A fast fractional difference algorithm
• A fast algorithm for computing a matrix transform used to detect trends in noisy data

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