On testing for high-dimensional white noise
From MaRDI portal
Publication:2284378
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
random matrix theoryhigh-dimensional time serieslarge autocovariance matrixHosking testLi-McLeod test
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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