Recursive computation for block-nested covariance matrices

DOI10.1111/JTSA.12267MaRDI QIDQ4640221zbMATH OpenOpenAlexFDO

Authors Tucker S. McElroy

Publication date 16 May 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12267

zbMATH Keywords

innovations algorithmLevinson-Durbin algorithmlikelihood evaluationspectral factorizationWhittle likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from spatial processes (62M30)

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Cited in

(5)

• Casting vector time series: algorithms for forecasting, imputation, and signal extraction
• A recursive approach for determining matrix inverses as applied to causal time series processes
• Computationally exploitable structure of covariance matrices and generalized convariance matrices in spatial models
• Order-recursive factorization of the pseudoinverse of a covariance matrix
• Quadratic prediction of time series via auto-cumulants

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