A New Approximation: Gauss-Lanczos Approximated SAR Model Solution

Abstract

In this chapter, a new approximate ML theory based solution for the SAR model which is called Gauss-Lanczos (GL) approximation is developed. The key idea of the proposed algorithm is to find only the some of the eigenvalues of a large matrix, instead of finding all the eigenvalues, by reducing the size of large matrix dramatically using GL algorithm [3]. Because of this property of GL algorithm, we can save huge computation costs, especially when the matrix size is quite large.