The covariance matrix of a stacked data vector (y1′, y2′, ... yn′)′ of a meanzero weakly stationary process {yt} has a special structure: A submatrix Λ0 =Ey1y1′ is located along the main diagonal, the matrix \({\Lambda _\ell } = E{y_{\ell + 1}}{y'_1}\) along the \( \ell\)-th diagonal below the main diagonal, and \({\Lambda _{ - \ell }} = E{y_1}{y'_{\ell + 1}} = {\Lambda '_\ell }\) along the \(\ell\)-th diagonal above the main diagonal. This covariance matrix is a block Toeplitz matrix because the same submatrices are arranged in the same way that elements are arranged in Toeplitz matrices.