On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

DOI10.1016/J.JMVA.2022.105124MaRDI QIDQ6372154arXivFDO

Authors Philippe Loubaton, Alexis Rosuel, Pascal Vallet

Publication date 24 June 2021

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15)

Abstract: We investigate the asymptotic distribution of the maximum of a frequency smoothed estimate of the spectral coherence of a M-variate complex Gaussian time series with mutually independent components when the dimension M and the number of samples N both converge to infinity. If B denotes the smoothing span of the underlying smoothed periodogram estimator, a type I extreme value limiting distribution is obtained under the rate assumptions M N $ightarrow$ 0 and M B $ightarrow$ c $in$ (0, +$infty$). This result is then exploited to build a statistic with controlled asymptotic level for testing independence between the M components of the observed time series. Numerical simulations support our results.

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