Norms of Toeplitz Matrices with Fisher–Hartwig Symbols

DOI10.1137/06066165XMaRDI QIDQ5301199zbMATH OpenFDO

Authors A. Böttcher, J. A. Virtanen

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

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

Abstract: We describe the asymptotics of the spectral norm of finite Toeplitz matrices generated by functions with Fisher-Hartwig singularities as the matrix dimension goes to infinity. In the case of positive generating functions, our result provides the asymptotics of the largest eigenvalue, which is of interest in time series with long-range memory.

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(16)

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• Transient behavior of powers and exponentials of large Toeplitz matrices
• Unitarily Invariant Norms of Toeplitz Matrices with Fisher–Hartwig Singularities
• On the best constants in inequalities of the Markov and Wirtinger types for polynomials on the half-line
• Spectral asymptotics for a family of LCM matrices
• Detection of long range dependence in the time domain for (in)finite-variance time series
• Orthogonal polynomials with respect to a class of Fisher-Hartwig symbols and inverse of Toeplitz matrices
• The Fisher-Hartwig conjecture and Toeplitz eigenvalues
• Norms of positive definite Toeplitz matrices and detection of almost periodic components in random signals
• Schatten norms of Toeplitz matrices with Fisher--Hartwig singularities
• Minimal eigenvalues of Toeplitz matrices and of products of Toeplitz matrices
• Eigenpairs of Toeplitz and disordered Toeplitz matrices with a Fisher-Hartwig symbol
• Maximal eigenvalue and norm of a product of Toeplitz matrices. Study of a particular case
• Eigenvalues of Hermitian Toeplitz matrices with polynomially increasing entries

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