Abstract
Some new results in the theory of matrix polynomials orthogonal on the unit circle are derived to provide a basis for assessing the accuracy of autoregressive models. In particular, a bound to the weighted norm of the difference between matrix polynomials and their infinite degree limit is obtained which can be used to estimate a priori their rate of convergence. Finally, the connections between some Fourier coefficients of the weight matrix and of its autoregressive approximation are investigated.
Original language | English (US) |
---|---|
Pages (from-to) | 229-238 |
Number of pages | 10 |
Journal | Journal of Computational and Applied Mathematics |
Volume | 62 |
Issue number | 2 |
DOIs | |
State | Published - Sep 20 1995 |
Keywords
- Autoregressive models
- Matrices
- Orthogonality
- Polynomials
ASJC Scopus subject areas
- Computational Mathematics
- Applied Mathematics