Factor-Adjusted Location Tests for High-Dimensional Time Series
Abstract
We study high-dimensional one-sample mean testing for time series with strong common serial dependence driven by latent dynamic factors. After estimating the dynamic factor loading space from lagged autocovariance, we project the data onto its orthogonal complement and construct three factor-adjusted tests: a max test for sparse alternatives, a quadratic test for dense alternatives, and a Cauchy combination test for unknown sparsity. The idiosyncratic component is allowed to be non-Gaussian sub-Gaussian vector white noise. We establish the Gumbel limit of the max statistic, the normal limit and local power function of the quadratic statistic, their asymptotic independence, and the validity of the Cauchy combination. In the strong-factor case, the refined projection expansion shows that the quadratic statistic remains valid for dimensions as large as . A random-loading residual bootstrap is developed for finite-sample calibration. Simulation studies and a real data application demonstrate reliable size control and competitive power for high-dimensional observations with strong dependence.
Keywords
Cite
@article{arxiv.2608.08483,
title = {Factor-Adjusted Location Tests for High-Dimensional Time Series},
author = {Jiyang Wang and Xifen Huang and Long Feng},
journal= {arXiv preprint arXiv:2608.08483},
year = {2026}
}