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Original Articles

On the block lu decomposition of block toeplitz matrices using the vector yule-walker equations

Pages 2815-2827 | Received 01 Apr 1990, Published online: 27 Jun 2007

References

  • Akaike , H. 1973 . Block Toeplitz matrix inversion . SIAM J. Appl. Math , 24 : 234 – 241 .
  • Demeure , C.J. and Scharf , L.L. 1987 . Linear statistical model for stationary sequences and related algorithms for Cholesky factorization of Toeplitz matrices . IEEE Trans. Acoust. Speech, Signal Processing , ASSP-35 : 29 – 42 .
  • Kullback , S. and Leibler , R.A. 1951 . On information and sufficiency . Ann. Math. Statist , 22 : 79 – 86 .
  • Roebuck , P.A. and Barnett , S. 1978 . A survey of Toeplitz and related matrices . Int. J. Systems Sci , 9 : 921 – 934 .
  • Rissanen , J. 1973 . Algorithms for triangular decomposition of block Hankel and Toeplitz matrices with application to factoring positive matrix polynomials . Math. Comput , 27 : 147 – 154 .
  • Watson , G.A. 1973 . An algorithm for the inversion of block matrices of Toeplitz form . J. Assoc. Comput. Mack , 20 : 409 – 415 .
  • Whittle , P. 1963 . On the fitting of multivariate autoregressions and the approximate canonical factorization of a spectral density matrix . Biometrika , 50 : 129 – 134 .

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