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Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints

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Author Info
Kontoghiorghes, Erricos J

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Abstract

The 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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Article provided by Springer in its journal Computational Economics.

Volume (Year): 15 (2000)
Issue (Month): 1-2 (April)
Pages: 89-106
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Handle: RePEc:kap:compec:v:15:y:2000:i:1-2:p:89-106

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Web page: http://www.springerlink.com/link.asp?id=100248

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