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

DOI10.1137/040612117MaRDI QIDQ5470482zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

circulant matrixcondition numbercovariance matrixexpected periodogrampreconditioningspectral densitytime seriesToeplitz matrix

Mathematics Subject Classification ID

Conditioning of matrices (15A12) 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)

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Cited in

(6)

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

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