Seems like GE on a 2x2 matrix should be pretty darn fast.... especially if you use scalar * vector type operations.

In this paper several algorithms for finding the eigenvalues of real symmetric matrices are discussed and compared. The algorithms have been programmed by the author for the IBM 7094. Descriptions of ...

This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...