Work

Testing High-dimensional White Noise Based On Modified Portmanteau Tests

Year: 2025

Type: article

Abstract: For high-dimensional time series, we propose a new test to detect white noise that is not necessarily assumed to be independent and identically distributed.The test can be viewed as a modified portmanteau test in high dimensions, and the critical value of the test statistic is approximated by a multiplier bootstrap method.We provide asymptotic properties of our test under the null hypothesis.The usefulness of our tests is demonstrated by simulations and one real example, particularly for detecting dense alternatives.

Source: Statistica Sinica

DOI: 10.5705/ss.202024.0037

Authors: Zeren Zhou, Min Chen

Institutions: Capital University of Economics and Business, Chinese Academy of Sciences

Language: English

Topic: Statistical Methods and Inference

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: bronze

OpenAlex ID: W4410146059

FWCI:

Cites:

Cited by:

Related to: 10