Efficient computation of tr{TR-1} for Toeplitz matrices.

Efficient computation of tr{TR-1} for Toeplitz matrices.

An efficient algorithm for the computation of tr{TR-1}, where T and R are Toeplitz matrices and R is also symmetric positive definite, is presented. The method exploits the fact that the trace of TR-1 depends only on the sum of the diagonals of R-1 , and not on the whole matrix R-1. To obtain this s...

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Bibliographic Details
Published in:IEEE Signal processing letters 9, 2 (2002).
Main Author: Dias, J.M.B
Format: Article
Language:English
Subjects:
Toeplitz matrices.
Trench algorithm.
Algorithm complexity.
Autoregressive processes.
Diagonal sum.
Efficient computation.
Generic functions.
Inverse Toeplitz matrix.
Signal processing.
Symmetric positive definite matrix.