Norms of Toeplitz Matrices with Fisher–Hartwig Symbols

DOI10.1137/06066165XzbMath1145.47023arXivmath/0606016MaRDI QIDQ5301199

Jani A. Virtanen, Albrecht Böttcher

Publication date: 29 April 2008

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

Full work available at URL: https://arxiv.org/abs/math/0606016

zbMATH Keywords

time seriesToeplitz matrixspectral normlong range memoryFisher-Hartwig singularity

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Numerical computation of matrix norms, conditioning, scaling (65F35)

Related Items (7)

Orthogonal polynomials with respect to a class of Fisher-Hartwig symbols and inverse of Toeplitz matrices ⋮ Maximal eigenvalue and norm of a product of Toeplitz matrices. Study of a particular case ⋮ Spectral asymptotics for a family of LCM matrices ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series ⋮ Eigenvalues of Hermitian Toeplitz matrices with polynomially increasing entries ⋮ Minimal eigenvalues of Toeplitz matrices and of products of Toeplitz matrices ⋮ On the best constants in inequalities of the Markov and Wirtinger types for polynomials on the half-line

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