Block circulant matrices and the spectra of multivariate stationary sequences

DOI10.1515/SPMA-2020-0121MaRDI QIDQ2663703zbMATH OpenOpenAlexFDO

Authors Marianna Bolla, Máté Baranyi, Fatma Abdelkhalek, Tamas Szabados

Publication date 19 April 2021

Published in Special Matrices (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/spma-2020-0121

zbMATH Keywords

autocovariance and spectral density matrixblock Cholesky decompositioncomplex principal componentsfinite Fourier transformweakly stationary time series

Mathematics Subject Classification ID

Toeplitz, Cauchy, and related matrices (15B05) Fourier series and coefficients in several variables (42B05) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A novel hybrid RBF neural networks model as a forecaster
• Eigenvectors of block circulant and alternating circulant matrices
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3231116 (Why is no real title available?)
• Linear Statistical Inference and its Applications
• Time series: theory and methods.

Cited in

(2)

• Blockwise perturbation theory for block \(p\)-cyclic stochastic matrices
• Line spectrum representation for vector processes with application to frequency estimation

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