Tridiagonal Approach to the Algebraic Environment of Toeplitz Matrices, Part I: Basic Results
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Publication:3352367
DOI10.1137/0612018zbMath0728.65020MaRDI QIDQ3352367
Publication date: 1991
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0612018
three-term recurrence relation; linear prediction problem; tridiagonal reduction; split Levinson algorithm; nonnegative- definite Hermitian Toeplitz matrices; symmetric predictor polynomials; Toeplitz algorithm
62M20: Inference from stochastic processes and prediction
65F05: Direct numerical methods for linear systems and matrix inversion
60G25: Prediction theory (aspects of stochastic processes)
65C99: Probabilistic methods, stochastic differential equations
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