BXfast: Fast Multiplication for a Two-level Toeplitz Matrix

In TMasak/surfcov: Random Surfaces' Covariance Estimation beyond Separability

Fast Multiplication for a Two-level Toeplitz Matrix

Description

We wish to calculate the tensor-matrix product Y = B X fast, where B is a stationary tensor, i.e. vec(Y) = mat(B) vec(X) is a product of a Two-level Toeplitz matrix with a vector, which can be calculated fast using 2D FFT.

Usage

BXfast(eigvals, x)

Arguments

eigvals	eigenvalues of a Two-level Toeplitz Matrix
x	vectorization of matrix observation

Value

vector vec(Y), which can be matrized to obtain the product Y

Examples

band <- matrix(4:1,2)
eigvals <- stats::fft(to_book_format(band,3,3))
BXfast(Re(eigvals), runif(9))

TMasak/surfcov documentation built on April 25, 2022, 12:15 a.m.