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.

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Year of publication:	2004
Authors:	Camba-Méndez, Gonzalo ; Kapetanios, George
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Spectral Density Matrix \| Tests of Rank

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Series:	ECB Working Paper ; 349
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/152783 [Handle] RePEc:ecb:ecbwps:20040349 [RePEc]
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011604395