An efficient procedure based on the asymptotic diagonalization of covariance matrix is proposed to obtain the approximate maximum likelihood estimate (MLE) of parameters of the discrete fractional Gaussian noise. Since this procedure can be executed using the FFT method, it requires an extremely cheaper computational cost than the procedure to acquire the exact MLE which is to some extent efficiently performed using the Levinson algorithm. It is found from numerical experiments that the mean square error (MSE) of the approximate MLE based on the proposed procedure is comparable to the MSE of the exact MLE and nearly attains to the Cramer-Rao lower bound when N (number of data points) ≳10^2.
This paper presents a new programming language for matrix calculation LAMAX-S(LAnguage for MAtriX calculation - Supercomputer). In LAMAX-S, 9 kinds of matrix form can be described such as band matrix, triangular matrix and diagonal matrix. And two additional attributes can be described: (1) a specific form such as symmetric, sparse. (2) Mathematical condition such as positive definite. LAMAX-S preprocessor translates LAMAX-S source program to FORTRAN based on the mathematical description. In this paper, we presents a design of LAMAX-S from a mathematical point of view and its prototype.
This note presents a practical approximation method for computing the minimum eigenvalue for a transcendental equation derived from the heat equation with a convective boundary condition. The transcendental equation is approximated by a finite continued fraction equation, which is a quadratic equation. Its solution(the minimum eigenvalue ) is obtained in a closed form depending explicitly on the Biot number. The method is faster than the conventional Newton method and the error is within 0.3%, a level that is quite satisfactory for practical use.
We propose two kinds of novel formulas for calculating the toroidal function (TF) of the second kind. The first formula, which is applicable to the TF of low degree, has the superior performance with respect to computation time (about 0.5 ms on a 486SX based PC). The second has been formulated by using the technique of Landen's transformation for complete elliptic integrals. We confirmed on the same machine that TF of degree 50 can be calculated by the our second formula in the reasonable computation time. Proposed formulas will apply to the numerical computation of electric fields.