On testing for high-dimensional white noise

DOI10.1214/18-AOS1782MaRDI QIDQ2284378

Clifford Lam, Qiwei Yao, Zeng Li, Jian-feng Yao

Publication date: 15 January 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.03545

zbMATH Keywords

random matrix theoryhigh-dimensional time serieslarge autocovariance matrixHosking testLi-McLeod test

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Factorization of matrices (15A23) White noise theory (60H40)

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