Computational Economics

, Volume 15, Issue 1–2, pp 89–106 | Cite as

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

  • Erricos J. Kontoghiorghes
Article

Abstract

The problem of computing estimates of parameters in SURE models withvariance inequalities and positivity of correlations constraintsis considered. Efficient algorithms that exploit the blockbi-diagonal structure of the data matrix are presented. Thecomputational complexity of the main matrix factorizations isanalyzed. A compact method to solve the model with proper subsetregressors is proposed.

SURE models least-squares Kronecker products orthogonal factorizations parallel algorithms 

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Copyright information

© Kluwer Academic Publishers 2000

Authors and Affiliations

  • Erricos J. Kontoghiorghes
    • 1
  1. 1.Institut d'informatiqueUniversité de NeuchâtelNeuchâtelSwitzerland,E-mail

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