文章基本信息

标题：Estimating the rank of the spectral density matrix
本地全文：下载
作者：Gonzalo Camba-Méndez ; George Kapetanios
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2004
出版社：European Central Bank
摘要：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 whose rank is known.
关键词：Tests of Rank; Spectral Density Matrix.