Autoregressive error-processes, cubic splines and tridiagonal matrices

Hilmar Drygas

Discussiones Mathematicae Probability and Statistics (2003)

  • Volume: 23, Issue: 2, page 147-165
  • ISSN: 1509-9423

Abstract

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In the paper formulate for the inversion of some tridiagonal matrices are given. The results can be applied to the autoregressive processes.

How to cite

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Hilmar Drygas. "Autoregressive error-processes, cubic splines and tridiagonal matrices." Discussiones Mathematicae Probability and Statistics 23.2 (2003): 147-165. <http://eudml.org/doc/287736>.

@article{HilmarDrygas2003,
abstract = {In the paper formulate for the inversion of some tridiagonal matrices are given. The results can be applied to the autoregressive processes.},
author = {Hilmar Drygas},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {autoregressive processes; cubic splines interpolation; linear regression model; time series},
language = {eng},
number = {2},
pages = {147-165},
title = {Autoregressive error-processes, cubic splines and tridiagonal matrices},
url = {http://eudml.org/doc/287736},
volume = {23},
year = {2003},
}

TY - JOUR
AU - Hilmar Drygas
TI - Autoregressive error-processes, cubic splines and tridiagonal matrices
JO - Discussiones Mathematicae Probability and Statistics
PY - 2003
VL - 23
IS - 2
SP - 147
EP - 165
AB - In the paper formulate for the inversion of some tridiagonal matrices are given. The results can be applied to the autoregressive processes.
LA - eng
KW - autoregressive processes; cubic splines interpolation; linear regression model; time series
UR - http://eudml.org/doc/287736
ER -

References

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  1. [1] H. Drygas, Sufficiency and completeness in the general Gauss-Markov model, Sankhya Ser A 45 (1984), 88-98. Zbl0535.62007
  2. [2] H. Drygas, The inverse of a tridiagonal matrix, Kasseler Mathematische Schriften, forthcoming (2003). Zbl1330.62336
  3. [3] F. Graybill, Matrices with Applications in Statistics, Wadsworth & Brooks/Cole, Advanced Books & Software, Pacific Grove, California 1963. 
  4. [4] R. Nabben, Two sided formels on the inverses of diagonally dominant tridiagonal matrices, Linear Algebra and its Applications 287 (1999), 289-305. Zbl0951.15005
  5. [5] C.R. Rao, Linear statistical inference and its applications. John Wiley & Sons Inc., New York-London-Sydney-Toronto 1973. Zbl0256.62002
  6. [6] P. Schönfeld, Methoden der Ökonometrie. Band I, Verlag Franz Vahlen GmbH, Berlin und Frankfurt am Main 1969. 
  7. [7] H.R. Schwarz, Numerische Mathematik. R.G. Teubner-Verlag, Stuttgart 1988. 
  8. [8] J.Stoer, Numerische Mathematik 1. 5. Auflage, Springer-Verlag, Berlin Heidelberg New York London Paris Tokyo Hong Kong 1989. 
  9. [9] W. Törnig, P. Spellucci, Numerische Mathematik für Ingenieure und Physiker. Band 2: Numerische Methoden der Analysis. Springer Verlag, Berlin Heidelberg New York London Paris Tokyo Hong Kong 1990. 

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