期刊
JOURNAL OF TIME SERIES ANALYSIS
卷 26, 期 1, 页码 37-48出版社
WILEY
DOI: 10.1111/j.1467-9892.2005.00389.x
关键词
tests of rank; 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 definite matrix estimate that has a normal asymptotic distribution with a covariance matrix the rank of which is known.
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