The Trench algorithm for inverting positive-definite Toeplitz matrix is implemented in C and interfaced via MathLink to Mathematica. A Mathematica package is provided which uses this interface to provide this capability to Mathematica users.
In addition, a package for fitting fractional Gaussian noise time series models using the Trench algorithm is provided.
Installation Notes: Install.txt
Description and Documentation: TrenchInverse-Documentation.nb FGN-Documentation.nb
Mathematica Packages: TrenchInverse.m FGN.m
Zipped MathLink executable files: Trench.zip