Arbeitspapier
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 349
- Classification
-
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Subject
-
Spectral Density Matrix
Tests of Rank
- Event
-
Geistige Schöpfung
- (who)
-
Camba-Méndez, Gonzalo
Kapetanios, George
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Camba-Méndez, Gonzalo
- Kapetanios, George
- European Central Bank (ECB)
Time of origin
- 2004
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