Block Toeplitz Matrix Inversion

Concepts

ComputingData ScienceTime Series AnalysisDigital Signal ProcessingInverse ProblemsIterative SolversMatrix ComputationNumerical AnalysisBlock Matrix AlgorithmsData InversionInversionsIterative Methods For Linear SystemsSystem Inversion

Abstract

An iterative procedure for the inversion of a block Toeplitz matrix is given. Hitherto published procedures are obtained as special cases of the present procedure. The use of the procedure in time series analysis is briefly explained.

References

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Computing, Mathematics, Econometrics +11

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R. B. McQuistan, J.L. Hock · Journal of Mathematical Physics · 1984 · 925 citations

Natural Sciences, Materials Science, Condensed Matter Physics +9

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Peter Whittle · Biometrika · 1963 · 384 citations

Computing, Data Science, Forecasting +11

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Peter Whittle · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1953 · 369 citations

Computing, Economics, Econometrics +15

Toeplitz Matrix Inversion: The Algorithm of W. F. Trench

S. Zohar · Journal of the ACM · 1969 · 186 citations · Full text

Computing, Computer Science, Algorithms +7