Sorry, you need to enable JavaScript to visit this website.

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

Citation Author(s):
Arup Bose, Walid Hachem
Submitted by:
Walid Hachem
Last updated:
10 February 2020 - 4:17am
Document Type:
Research Manuscript
Document Year:
2020
Event:
Presenters:
A. Bose or W. Hachem
Paper Code:
1655
 

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.

up
0 users have voted: