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