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Bootstrap statistical tests of rank determination for system identification
Camba-Mendez, Gonzalo; Kapetanios, George - 2002
Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...
Persistent link: https://www.econbiz.de/10010284210
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Tests of rank in reduced rank regression models
Camba-Méndez, Gonzalo; Kapetanios, George; Smith, … - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 1, pp. 145-155
Persistent link: https://www.econbiz.de/10001728862
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Bootstrap statistical tests of rank determination for system identification
Camba-Méndez, Gonzalo (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001867136
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Tests of rank in reduced rank regression models
Camba-Méndez, Gonzalo (contributor) - 1999 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001558140
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A bootstrap test of cointegration rank
Kapetanios, George (contributor);  … - 1999 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001558142
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Bootstrap Statistical Tests of Rank Determination for System Identification
Camba-Mendez, Gonzalo; Kapetanios, George - 2005
Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...
Persistent link: https://www.econbiz.de/10014099160