Testing the rank of the Hankel covariance matrix: a statistical approach

DOI10.1109/9.905704zbMath1056.93533OpenAlexW2108864195MaRDI QIDQ4540317

Gonzalo Camba-Mendez, George Kapetanios

Publication date: 21 July 2002

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.905704

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05) Realizations from input-output data (93B15)

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