Arbeitspapier
Testing the rank of the Hankel matrix: a statistical approach
The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In this paper, we propose new statistical tests to determine the rank of the Hankel matrix. We also provide a Monte Carlo study on the reliability of these tests compared to existing procedures.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 45
- Classification
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
-
Hankel Operator
model reduction
Monte Carlo
Tests of Rank
- Event
-
Geistige Schöpfung
- (who)
-
Camba-Méndez, Gonzalo
Kapetanios, George
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:46 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
- 2001
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