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.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 349
- Klassifikation
-
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
- Thema
-
Spectral Density Matrix
Tests of Rank
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Camba-Méndez, Gonzalo
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Camba-Méndez, Gonzalo
- Kapetanios, George
- European Central Bank (ECB)
Entstanden
- 2004
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