toep.mult: Toeplitz matrix multiplication.

In SuperGauss: Superfast Likelihood Inference for Stationary Gaussian Time Series

Toeplitz matrix multiplication.

Description

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

Usage

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

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

SuperGauss documentation built on March 18, 2022, 6:35 p.m.