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 whose rank is known.

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Year of publication:	2004
Authors:	Camba-Mendez, Gonzalo ; Kapetanios, George
Publisher:	European Central Bank
Subject:	Geldpolitik \| Monetary Policy \| Zentralbank \| Central Bank

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Extent:	559104 bytes 28 p. application/pdf
Series:	Working paper series / European Central Bank ; 349
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; Currency. Monetary policy ; Individual Working Papers, Preprints
Source:	ArchiDok