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4. A Whiteness Test Based On The Spectral Measure Of Large Non-Hermitian Random Matrices

A Whiteness Test Based On The Spectral Measure Of Large Non-Hermitian Random Matrices

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IEEE ICASSP 2020 Virtual Conference May 2020

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 sin

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A Whiteness Test Based On The Spectral Measure Of Large Non-Hermitian Random Matrices

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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 sin