Reiß, Markus; Winkelmann, Lars - 2021
We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi … problem is that the inherent averaging in local covariance statistics produces a bias that distorts the rank statistics. We …-driven critical values via normed p-variations of estimated local covariance matrices. The methods are illustrated by simulations and …