TOEPLITZ-HANKEL: Octave functions to work with Toeplitz, Hankel matrices
Dirk Laurie · RePEc: Research Papers in Economics · 2000
I have coded the standard Durbin and Trench algorithms for solving Toeplitz systems and inverting Toeplitz matrices respectively, but generalized to the unsymmetric case. The calling protocol provides for the symmetric case, but the code does not actually exploit it (the savings would be only 33%, and this routine is not going to be really fast unless someone makes an .oct version of it.) The corresponding problems involving Hankel matrices are handled by the obvious row and column reversal.