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A whiteness test based on the spectral measure of large non-Hermitian random matrices

Abstract: 

In the context of multivariate time series, a whiteness test against an MA(1)
correlation model is proposed. This test is built on the eigenvalue
distribution (spectral measure) of the non-Hermitian one-lag sample
autocovariance matrix, instead of its singular value distribution. The large
dimensional limit spectral measure of this matrix is derived. To obtain this
result, a control over the smallest singular value of a related random matrix
is provided. Numerical simulations show the excellent performance of this
test.

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Paper Details

Authors:
Arup Bose, Walid Hachem
Submitted On:
10 February 2020 - 4:17am
Short Link:
Type:
Research Manuscript
Event:
Presenter's Name:
A. Bose or W. Hachem
Paper Code:
1655
Document Year:
2020
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Bose/Hachem ICASSP paper

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[1] Arup Bose, Walid Hachem, "A whiteness test based on the spectral measure of large non-Hermitian random matrices", IEEE SigPort, 2020. [Online]. Available: http://sigport.org/4973. Accessed: Aug. 07, 2020.
@article{4973-20,
url = {http://sigport.org/4973},
author = {Arup Bose; Walid Hachem },
publisher = {IEEE SigPort},
title = {A whiteness test based on the spectral measure of large non-Hermitian random matrices},
year = {2020} }
TY - EJOUR
T1 - A whiteness test based on the spectral measure of large non-Hermitian random matrices
AU - Arup Bose; Walid Hachem
PY - 2020
PB - IEEE SigPort
UR - http://sigport.org/4973
ER -
Arup Bose, Walid Hachem. (2020). A whiteness test based on the spectral measure of large non-Hermitian random matrices. IEEE SigPort. http://sigport.org/4973
Arup Bose, Walid Hachem, 2020. A whiteness test based on the spectral measure of large non-Hermitian random matrices. Available at: http://sigport.org/4973.
Arup Bose, Walid Hachem. (2020). "A whiteness test based on the spectral measure of large non-Hermitian random matrices." Web.
1. Arup Bose, Walid Hachem. A whiteness test based on the spectral measure of large non-Hermitian random matrices [Internet]. IEEE SigPort; 2020. Available from : http://sigport.org/4973