A frequency-domain test for multivariate white noise

DOI10.1007/S42519-024-00374-7MaRDI QIDQ6537377zbMATH OpenFDO

Authors Mingjuan Zhang, Shibin Zhang

Publication date 14 May 2024

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S42519-024-00374-7

zbMATH Keywords

autocorrelationBrownian bridgecumsum testwhite noise

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Multivariate analysis (62Hxx) Inference from stochastic processes (62Mxx)

Cites work

• A copula spectral test for pairwise time reversibility
• A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
• Asymptotic Statistics
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Detection of Multiple Structural Breaks in Multivariate Time Series
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Estimating the Spectral Density at Frequencies Near Zero
• scientific article; zbMATH DE number 3115405 (Why is no real title available?)
• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• scientific article; zbMATH DE number 845711 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Hypothesis testing for high-dimensional time series via self-normalization
• Modeling Multiple Times Series with Applications
• Modelling exchange rate returns: which flexible distribution to use?
• On testing for high-dimensional white noise
• Quantile spectral processes: asymptotic analysis and inference
• Robust adaptive rate-optimal testing for the white noise hypothesis
• Testing for high-dimensional white noise using maximum cross-correlations
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances
• Testing That a Dependent Process Is Uncorrelated
• Tests for serial correlation in regression analysis based on the periodogram of least-squares residuals
• The Multivariate Portmanteau Statistic
• Time series. Data analysis and theory.
• Time series: Theory and methods
• White noise testing using wavelets

This page was built for publication: A frequency-domain test for multivariate white noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6537377)