On the Complexity of the Preconditioned Conjugate Gradient Algorithm for Solving Toeplitz Systems with a Fisher--Hartwig Singularity

DOI10.1137/040612117zbMATH Open1106.65027OpenAlexW2077435672MaRDI QIDQ5470482FDOQ5470482

Authors: Yi Lu, Clifford Hurvich 

Publication date: 31 May 2006

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

Full work available at URL: https://doi.org/10.1137/040612117

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zbMATH Keywords

time seriesspectral densityToeplitz matrixpreconditioningcovariance matrixcirculant matrixcondition numberexpected periodogram

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Iterative numerical methods for linear systems (65F10) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

Cited In (6)

• Block band Toeplitz preconditioners derived from generating function approximations: analysis and applications
• Convergence analysis of superoptimal PCG algorithm for Toeplitz systems with a Fisher-Hartwig singularity
• Superoptimal approximation for unbounded symbols
• Orthogonal polynomials with respect to a class of Fisher-Hartwig symbols and inverse of Toeplitz matrices
• Inside the eigenvalues of certain Hermitian Toeplitz band matrices
• On the asymptotics of all eigenvalues of Hermitian Toeplitz band matrices

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