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Research Manuscript
Research Manuscript
A whiteness test based on the spectral measure of large non-Hermitian random matrices
- Citation Author(s):
- 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
- Categories:
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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.