Explicit inverse of tridiagonal matrix with applications in autoregressive modelling

DOI10.1093/IMAMAT/HXZ010MaRDI QIDQ5009243zbMATH OpenOpenAlexWikidataFDO

Authors Linda S. L. Tan

Publication date 19 August 2021

Published in IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.04516

zbMATH Keywords

explicit inversefirst-order autoregressiontime series modelstridiagonal matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical solutions to inverse eigenvalue problems (65F18)

Abstract: We present the explicit inverse of a class of symmetric tridiagonal matrices which is almost Toeplitz, except that the first and last diagonal elements are different from the rest. This class of tridiagonal matrices are of special interest in complex statistical models which uses the first order autoregression to induce dependence in the covariance structure, for instance, in econometrics or spatial modeling. They also arise in interpolation problems using the cubic spline. We show that the inverse can be expressed as a linear combination of Chebyshev polynomials of the second kind and present results on the properties of the inverse, such as bounds on the row sums, the trace of the inverse and its square, and their limits as the order of the matrix increases.

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Cited in

(8)

• On the structure and invertibility of the autocorrelation matrix in the unconstrained FDLMS problem
• Staircase patterns in words: subsequences, subwords, and separation number
• Inverse properties of a class of seven-diagonal (near) Toeplitz matrices
• Eigenpairs of some imperfect pentadiagonal Toeplitz matrices
• A stationary Kyle setup: microfounding propagator models
• Determinants of some pentadiagonal matrices
• Efficient data augmentation techniques for some classes of state space models
• Explicit inverse of symmetric, tridiagonal near Toeplitz matrices with strictly diagonally dominant Toeplitz part

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