2013 IEEE 24th International Conference on Application-Specific Systems, Architectures and Processors
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Abstract

Heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimation, or HAC estimation in short, is one of the most important techniques in time series analysis and forecasting. It serves as a powerful analytical tool for hypothesis testing and model verification. However, HAC estimation for long and high-dimensional time series is computationally expensive. This paper describes a novel pipeline-friendly HAC estimation algorithm derived from a mathematical specification, by applying transformations to eliminate conditionals, to parallelise arithmetic, and to promote data reuse in computation. We then develop a fully-pipelined hardware architecture based on the proposed algorithm. This architecture is shown to be efficient and scalable from both theoretical and empirical perspectives. Experimental results show that an FPGA-based implementation of the proposed architecture is up to 111 times faster than an optimised CPU implementation with one core, and 14 times faster than a CPU with eight cores.
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