Bootstrap Tests for High-Dimensional White-Noise

DOI10.1080/07350015.2021.2008407MaRDI QIDQ6586904zbMATH OpenFDO

Authors L. Y. Wang, Efang Kong, Yingcun Xia

Publication date 13 August 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2021.2008407

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A max-correlation white noise test for weakly dependent time series
• An adaptive two-sample test for high-dimensional means
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• Consistent Testing for Serial Correlation of Unknown Form
• Generalized autoregressive conditional heteroscedasticity
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Inference on Causal and Structural Parameters using Many Moment Inequalities
• On blocking rules for the bootstrap with dependent data
• On testing for high-dimensional white noise
• Portmanteau test and simultaneous inference for serial covariances
• Properties of moments of a family of GARCH processes
• Rates of convergence for empirical processes of stationary mixing sequences
• Resampling methods for dependent data
• Spectral tests of the martingale hypothesis under conditional heteroscedasticity
• Testing for high-dimensional white noise using maximum cross-correlations
• Testing serial correlations in high-dimensional time series via extreme value theory
• The dependent wild bootstrap

Cited in

(4)

• Testing ARCH effect of high-dimensional time series data
• Statistical modeling of dengue transmission dynamics with environmental factors
• Wiener-type integral approximation for sampling distributions of irregularly spaced spatial data
• A rank based method for testing ARCH effect and serial correlation of high-dimensional time series

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