O(n log2 n) determinant computation of a Toeplitz matrix and fast variance estimation

Applied Mathematics Letters

Volumn 9, Issue 2, 1996, Pages 29-31

  Dietrich, C R ^a   Osborne, M R ^b  

^a GRIFFITH UNIVERSITY   (Australia)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Fast algorithms; Restricted maximum likelihood; Toeplitz structure; Variance covariance estimation

Indexed keywords

EID: 0009953382     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/0893-9659(96)00007-9     Document Type: Article

References (4)

1. F.R. de Hoog, A new algorithm for solving Toeplitz systems of equations, Linear Algebra Appl. 88/89, 123-138 (1987).
2. G.S. Ammar and W.B. Gragg, Superfast solution of real positive definite Toeplitz systems, SIAM J. Matrix. Anal. Appl. 9 (1), 61-76 (1987).
3. D.A. Harville, Maximum likelihood approaches to variance component estimation and to related problems, Journal of the American Statistical Association 72, 320-340 (1977).
4. C.R. Dietrich and M.R. Osborne, Fast computation of the restricted maximum likelihood function and its gradient for a stationary Gaussian random field sampled over a regular grid, In CTAC93 Proceedings, World Scientific, (to appear).