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 InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 1997 with number 45.
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- Kontoghiorghes, Erricos J, 2000. "Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints," Computational Economics, Society for Computational Economics, vol. 15(1-2), pages 89-106, April.
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- William L. Goffe & Michael Creel, 2005.
"Multi-core CPUs, Clusters and Grid Computing: a Tutorial,"
Computing in Economics and Finance 2005
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- Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Society for Computational Economics, vol. 32(4), pages 353-382, November.
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- Foschi, Paolo & Kontoghiorghes, Erricos J., 2002. "Seemingly unrelated regression model with unequal size observations: computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 211-229, November.
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