Computational Economics

, Volume 15, Issue 1–2, pp 89–106

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

  • Erricos J. Kontoghiorghes
Article

DOI: 10.1023/A:1008647128446

Cite this article as:
Kontoghiorghes, E.J. Computational Economics (2000) 15: 89. doi:10.1023/A:1008647128446

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 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Kluwer Academic Publishers 2000

Authors and Affiliations

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

Personalised recommendations