Estimating the Rank of the Spectral Density Matrix

12 Pages Posted: 6 Jan 2005

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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.

Keywords: Tests of rank, spectral density matrix

Suggested Citation

Camba-Mendez, Gonzalo and Kapetanios, George, Estimating the Rank of the Spectral Density Matrix. Available at SSRN: https://ssrn.com/abstract=643904

Gonzalo Camba-Mendez (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0044 69 1344 6000 (Fax)

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

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