Estimating the rank of the spectral density matrix

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive de?nite matrix estimate that has a normal asymptotic distribution with a covariance matrix whose rank is known. JEL Classification: C12, C32, C52

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Year of publication:	2004-04
Authors:	Camba-Méndez, Gonzalo ; Kapetanios, George
Institutions:	European Central Bank
Subject:	Spectral Density Matrix \| Tests of Rank

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0349
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005530713