A new algorithm for 5-band Toeplitz matrix inversion with application to GCV smoothing spline computation (Q1808686)

A new algorithm for computing the inverse of a 5-band Toeplitz matrix in \(O(n^2)\) operations is developed. A nice feature of this algorithm is that it can compute individual entries of the inverse efficiently (in constant time). As an application of this algorithm, the author presents a way to compute the generalized cross validation (GCV) smoothing spline in linear time for equally spaced data case. The GCV method was proposed by \textit{P. Craven} and \textit{G. Wahba} [Numer. Math. 31, 377-403 (1979; Zbl 0413.65080)].