Questions tagged [toeplitz]

Refers to Toeplitz matrix or diagonal-constant matrix, which has constant entries on the diagonals, i.e. $A_{ij}=a_{i-j}$.

Filter by
Sorted by
Tagged with
1
vote
0answers
67 views

When to use different covariance structures?

Log-likelihood could be wrong so comparing covariance pattern models based on log-likelihood and LR tests isn't a perfect way. Intuitively, how do I know when to use Toeplitz versus AR(1) versus ...
2
votes
0answers
260 views

Deconvolution - two transfer functions applied to the same signal

I'm observing two timeseries, $\hat{h_1}$ and $\hat{h_2}$. I believe that both are products of convolution of the same underlying signal $f$ with a two different transfer functions, $g_1$ and $g_2$, ...
6
votes
2answers
1k views

More efficient way to create Block Toeplitz matrix in R? [closed]

I am trying to create a Block Toeplitz matrix likes this: $\boldsymbol U = \begin{pmatrix} U(0) & U(1) & \cdots & U(n)\\ U(1)^T & U(0) & \cdots & U(n-1)\\ \vdots & \vdots &...
4
votes
0answers
1k views

Toeplitz variance matrix with nlme

I would like to specify a Toeplitz variance matrix for the random effects of my nlme model in R. Is it possible ? More precisely,...