Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor

Y. Wang, M. J. Daniels. Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor. J. Multivariate Analysis, 130:21-26, 2014. [doi]

Authors

Y. Wang

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M. J. Daniels

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