An exact formula of the inverse covariance matrix of an autoregressive stochastic process is obtained using the Gohberg}Semencul explicit inverse of the Toeplitz matrix. This formula is used to build an estimator of the inverse covariance matrix of a stochastic process based on a single realization.
On an estimate of the eigenvalues for an infinite-dimensional matrix and its application to the problem of the completeness of an eigenvector system of a completely continuous operator
β Scribed by V.A. Strauss
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 837 KB
- Volume
- 274
- Category
- Article
- ISSN
- 0024-3795
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β¦ Synopsis
We consider spectral properties of several infinite-dimensional matrices and show that matrices of this type can be used as a representative model for the Gram operator of a sesquilinear form. The representation is applied to the study of the completeness problem of an eigenvector system for a G-self-adjoint operator.
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