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 definite matrix estimate that has a normal asymptotic distribution with a covariance matrix the rank of which is known. Copyright 2005 Blackwell Publishing Ltd.
Year of publication: |
2005
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Authors: | Camba-Mendez, Gonzalo ; Kapetanios, George |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 26.2005, 1, p. 37-48
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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