Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152479
Authors: 
Camba-Méndez, Gonzalo
Kapetanios, George
Year of Publication: 
2001
Series/Report no.: 
ECB Working Paper 45
Abstract: 
The rank of the 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 the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In this paper, we propose new statistical tests to determine the rank of the Hankel matrix. We also provide a Monte Carlo study on the reliability of these tests compared to existing procedures.
Subjects: 
Hankel Operator
model reduction
Monte Carlo
Tests of Rank
JEL: 
C12
C15
C32
Document Type: 
Working Paper

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