toep.mult: Toeplitz matrix multiplication. In SuperGauss: Superfast Likelihood Inference for Stationary Gaussian Time Series

Description

Efficient matrix multiplication with Toeplitz matrix and arbitrary matrix or vector.

Usage

 `1` ```toep.mult(acf, X) ```

Arguments

 `acf` Length-`N` vector giving the first column (or row) of the Toeplitz matrix. `X` Vector or matrix of compatible dimensions with `acf`.

Value

An `N`-row matrix corresponding to `toeplitz(acf) %*% X`.

Examples

 ```1 2 3 4 5``` ```N <- 20 d <- 3 acf <- exp(-(1:N)) X <- matrix(rnorm(N*d), N, d) toep.mult(acf, X) ```

Example output

```             [,1]        [,2]        [,3]
[1,] -1.07428988 -0.85166313  0.29933901
[2,] -0.98624030 -0.79704652  0.55803627
[3,] -0.41275409 -0.30518316  0.40524495
[4,]  0.10703621  0.10722514 -0.89287370
[5,] -0.07556649  0.10882357 -0.80066731
[6,]  0.23028195 -0.18804388 -0.92035593
[7,] -0.05343987 -0.06276231 -0.45630078
[8,] -0.27185125  0.09120143 -0.14544608
[9,] -0.35173015  0.37931539  0.76300914
[10,] -0.51622197  0.32383364  0.18283774
[11,] -0.20217328  0.65135880 -0.20731342
[12,]  0.17288050  0.20101293 -0.44497367
[13,]  0.20229538 -0.20583360 -0.85262686
[14,] -0.44215540  0.17808927 -0.40764086
[15,] -0.65477365  0.92746921 -0.54590242
[16,] -0.63527270  0.70402849 -0.11983328
[17,] -0.88843796  0.36090564 -0.18339560
[18,] -0.16248118  0.76668232 -0.07855563
[19,]  0.19518586  1.04773685  0.42113964
[20,]  0.37366169  1.08118773  0.33767486
```

SuperGauss documentation built on May 1, 2019, 7:58 p.m.