More on Estimation of Banded and Banded Toeplitz Covariance Matrices

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Berntsson, Fredrik; Ohlson, Martin;
(2017)
  • Publisher: Linköping
  • Subject: Probability Theory and Statistics | Sannolikhetsteori och statistik

In this paper we consider two different linear covariance structures, e.g., banded and bended Toeplitz, and how to estimate them using different methods, e.g., by minimizing different norms. One way to estimate the parameters in a linear covariance structure is to use t... View more
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