Estimating the Rank of the Spectral Density Matrix

Gonzalo Camba‐Mendez and George Kapetanios
Authors registered in the RePEc Author Service: Gonzalo Camba-Mendez

Journal of Time Series Analysis, 2005, vol. 26, issue 1, 37-48

Abstract: 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 the rank of which is known.

Date: 2005
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Citations: View citations in EconPapers (3)

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https://doi.org/10.1111/j.1467-9892.2005.00389.x

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Working Paper: Estimating the rank of the spectral density matrix (2004)
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