On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series

DOI10.1198/016214505000001069MaRDI QIDQ5754986zbMATH OpenOpenAlexWikidataFDO

Authors Willa W. Chen, Clifford Hurvich, Yi Lu

Publication date 20 August 2007

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/016214505000001069

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for discrete and fast Fourier transforms (65T50)

Cited in

(15)

• A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
• Statistical inference for spatial statistics defined in the Fourier domain
• The ARMA alphabet soup: a tour of ARMA model variants
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Minimum distance estimation of ARFIMA processes
• Every matrix is a product of Toeplitz matrices
• Covariate assisted screening and estimation
• On finite-population Bayesian inferences for 2^K factorial designs with binary outcomes
• A fast fractional difference algorithm
• Adaptive fitting of linear mixed-effects models with correlated random effects
• Asymptotics of eigenvalues for Toeplitz matrices with rational symbols that have a minimum of the 4th order
• The generalized Toeplitz determinants for a class of holomorphic mappings in several complex variables
• Some refinements of the Fekete and Szegö inequalities and Toeplitz determinants in one and higher dimensions
• Coefficient inequalities for holomorphic mappings with lacunary series on bounded starlike circular domains in \(\mathbb{C}^n\)
• Fast approximate likelihood evaluation for stable VARFIMA processes

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