O(N-LOG(2)-N) DETERMINANT COMPUTATION OF A TOEPLITZ MATRIX AND FAST VARIANCE-ESTIMATION

Authors
DIETRICH CR OSBORNE MR
Citation
Cr. Dietrich et Mr. Osborne, O(N-LOG(2)-N) DETERMINANT COMPUTATION OF A TOEPLITZ MATRIX AND FAST VARIANCE-ESTIMATION, Applied mathematics letters, 9(2), 1996, pp. 29-31
Citations number
4
Categorie Soggetti
Mathematics,Mathematics
Journal title
Applied mathematics letters → ACNP
ISSN journal
08939659
Volume
9
Issue
2
Year of publication
1996
Pages
29 - 31
Database
ISI
SICI code
0893-9659(1996)9:2<29:ODCOAT>2.0.ZU;2-M
Abstract
The determinant of an n x n Toeplitz matrix can be computed in O(n) ho ps given the associated generalised Shur constants, and these can be f ound from the fast algorithms of de Hoog and Ammar and Gragg without i ncreasing the algorithms' asymptotic complexity. An important conseque nce is an estimate of O(n log(2) n) flops for computing variance param eters in certain multivariate normal models.