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...

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying inflation to formulate monetary policy and assist in forecasting observed inflation. Recent work has concentrated on modelling large datasets using...