Estimating the rank of the spectral density matrix

Gonzalo Camba-Mendez and George Kapetanios

No 349, Working Paper Series from European Central Bank

Abstract: 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. JEL Classification: C12, C32, C52

Keywords: spectral density matrix; Tests of Rank (search for similar items in EconPapers)
Date: 2004-04
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Related works:
Journal Article: Estimating the Rank of the Spectral Density Matrix (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2004349

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