Premium
IMPROVING THE COMPUTATIONAL EFFICIENCY OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES: A COMMENT
Author(s) -
Corradi Corrado,
Scarani Claudia
Publication year - 1987
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1987.tb00427.x
Subject(s) - cholesky decomposition , minimum degree algorithm , decomposition , series (stratigraphy) , bayesian probability , incomplete cholesky factorization , mathematics , factorization , algorithm , computer science , mathematical optimization , econometrics , statistics , eigenvalues and eigenvectors , paleontology , biology , physics , quantum mechanics , ecology
. This note describes an improvement of Ishiguro's algorithm for the Bayesian decomposition of a time series based on the use of a specialized band Cholesky factorization.