Camba-Mendez, Gonzalo; Kapetanios, George - In: Journal of Time Series Analysis 26 (2005) 1, pp. 37-48
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...
