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- W4380490516 abstract "We study the rank of the instantaneous or spot covariance matrix ΣX(t) of a multidimensional process X(t). Given high-frequency observations X(i/n), i=0,…,n, we test the null hypothesis rank(ΣX(t))≤r for all t against local alternatives where the average (r+1)st eigenvalue is larger than some signal detection rate vn. A major problem is that the inherent averaging in local covariance statistics produces a bias that distorts the rank statistics. We show that the bias depends on the regularity and spectral gap of ΣX(t). We establish explicit matrix perturbation and concentration results that provide nonasymptotic uniform critical values and optimal signal detection rates vn. This leads to a rank estimation method via sequential testing. For a class of stochastic volatility models, we determine data-driven critical values via normed p-variations of estimated local covariance matrices. The methods are illustrated by simulations and an application to high-frequency data of U.S. government bonds." @default.
- W4380490516 created "2023-06-14" @default.
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- W4380490516 date "2023-04-01" @default.
- W4380490516 modified "2023-10-16" @default.
- W4380490516 title "Inference on the maximal rank of time-varying covariance matrices using high-frequency data" @default.
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- W4380490516 doi "https://doi.org/10.1214/23-aos2273" @default.
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