Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints
AbstractThe problem of computing estimates of parameters in SURE models with variance inequalities and positivity of correlations constraints is considered. Efficient algorithms that exploit the block bidiagonal structure of the data matrix are presented. The computational complexity of the main matrix factorizations is analyzed. A compact method to solve the model with proper subset regressors is proposed. Citation Copyright 2000 by Kluwer Academic Publishers.
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 15 (2000)
Issue (Month): 1-2 (April)
Other versions of this item:
- Erricos Kontoghiorghes & Elias Dinenis & Dennis Parkinson, . "Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints," Computing in Economics and Finance 1997 45, Society for Computational Economics.
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