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Estimating the Rank of the Spectral Density Matrix

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Author Info
Gonzalo Camba-Mendez
George Kapetanios
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. Copyright 2005 Blackwell Publishing Ltd.

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Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 26 (2005)
Issue (Month): 1 (01)
Pages: 37-48
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Handle: RePEc:bla:jtsera:v:26:y:2005:i:1:p:37-48

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