Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm

Djalil Kateb (), Abdellatif Seghier () and Gilles Teyssière ()
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Djalil Kateb: Université de Technologie de Compiègne
Abdellatif Seghier: Université Paris-Sud
Gilles Teyssière: Université Paris 1

A chapter in Long Memory in Economics, 2007, pp 239-261 from Springer

Abstract: Summary Let f be a given function on the unit circle such that f(e iθ) = | 1−e iθ |2α f 1(e iθ) with | α |

Keywords: Orthogonal Polynomial; Approximation Formula; Toeplitz Matrix; Stochastic Volatility Model; Toeplitz Matrice (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-34625-8_8

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DOI: 10.1007/978-3-540-34625-8_8

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