Large Inverse Cholesky
This function computes the coefficient matrices for the Structured Auto-regressive Model given as follows:
L*x(n) = t + sum_{i=1}^K R(:,:,i)*x(n-i) + w(n)
n = [1,N]; x(n), w(n) are complex vectors C^{Mx1}, and covariance matrix of w(n) is identity matrix (D = I).
Aravindh Krishnamoorthy
On Coefficient Matrices Computation of Structured Vector Autoregressive Model, arXiv:1309.6290.
Cite As
Aravindh Krishnamoorthy (2024). Large Inverse Cholesky (https://www.mathworks.com/matlabcentral/fileexchange/44106-large-inverse-cholesky), MATLAB Central File Exchange. Retrieved .
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- Computational Finance > Econometrics Toolbox > Conditional Mean Models >
- Computational Finance > Econometrics Toolbox > Multivariate Models >
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Version | Published | Release Notes | |
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1.0.0.0 |