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Convergence Rates for Inverse Toeplitz Matrix Forms
Australian National University, Australia.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1989 (English)In: Journal of Multivariate Analysis, ISSN 0047-259X, E-ISSN 1095-7243, Vol. 31, no 1, 127-135 p.Article in journal (Refereed) Published
Abstract [en]

Given a p-dimensional spectral density φ(ω)≥cI>0, ∀ω∈[0,2π] such that , with covariance block-Toeplitz matrix Γn of dimension np × np, we show that

This result has applications in extimation of time series and in system identification. We comment how to use this result to derive frequency domain expressions for moltivariate autoregressive spectral density estimates as the order and the number of observations tend to infinity.

Place, publisher, year, edition, pages
Elsevier, 1989. Vol. 31, no 1, 127-135 p.
Keyword [en]
Multivariate time series, Autoregressive modelling, Toeplitz forms, Parameter estimation, Spectral density estimation
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-100422DOI: 10.1016/0047-259X(89)90055-9OAI: diva2:662449
Available from: 2013-11-07 Created: 2013-11-07 Last updated: 2013-11-07

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ReferencesLink to record
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