Estimating the Rank of the Spectral Density Matrix
Gonzalo Camba-Méndez, George Kapetanios · Journal of Time Series Analysis · 2005
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.