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cs.IT2013
Linear Extended Whitening Filters
Aravindh Krishnamoorthy
In this paper we present a class of linear whitening filters termed linear extended whitening filters (EWFs) which are whitening filters that have desirable secondary properties an…
math.NA2013
Coefficient Matrices Computation of Structural Vector Autoregressive Model
Aravindh Krishnamoorthy
In this paper we present the Large Inverse Cholesky (LIC) method, an efficient method for computing the coefficient matrices of a Structural Vector Autoregressive (SVAR) model.