Testing the rank of the Hankel covariance matrix: a statistical approach
Copyright policy )Testing the rank of the Hankel covariance matrix: a statistical approach
Summary: The rank of a Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of a Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In this note, we propose new statistical tests to determine the rank of a Hankel matrix. We also provide a Monte Carlo study on the reliability of these tests compared to existing procedures.
- National Institute of Economic and Social Research United Kingdom
Time series, auto-correlation, regression, etc. in statistics (GARCH), Realizations from input-output data, Monte Carlo methods, Hypothesis testing in multivariate analysis, Computational methods in systems theory
Time series, auto-correlation, regression, etc. in statistics (GARCH), Realizations from input-output data, Monte Carlo methods, Hypothesis testing in multivariate analysis, Computational methods in systems theory
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