Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...

Seems like GE on a 2x2 matrix should be pretty darn fast.... especially if you use scalar * vector type operations.

This is a preview. Log in through your library . Abstract The auto-cross covariance matrix is defined as $\mathbf{M}_n=\frac{1} {2T}\sum_{j=1}^T\bigl(\mathbf{e}_j\mathbf{e}_{j+\tau}^*+\mathbf{e}_{j+ ...