Matrix polynomials orthogonal on the unit circle and accuracy of autoregressive models

Research output: Contribution to journalArticle

5 Scopus citations

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 languageEnglish (US)
Pages (from-to)229-238
Number of pages10
JournalJournal of Computational and Applied Mathematics
Volume62
Issue number2
DOIs
StatePublished - Sep 20 1995

Keywords

  • Autoregressive models
  • Matrices
  • Orthogonality
  • Polynomials

ASJC Scopus subject areas

  • Computational Mathematics
  • Applied Mathematics

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