Spatial-sign based High Dimensional White Noises Test
Statistics Theory
2023-03-21 v1 Statistics Theory
Abstract
A spatial-sign based test procedure is proposed for high dimensional white noise test in this paper. We establish the limit null distribution and give the asymptotical relative efficient of our test with respect to the test proposed by Feng et al. (2022) under some special alternative hypothesis. Simulation studies also demonstrate the efficiency and robustness of our test for heavy-tailed distributions.
Keywords
Cite
@article{arxiv.2303.10641,
title = {Spatial-sign based High Dimensional White Noises Test},
author = {Ping Zhao and Dachuan Chen and Zhaojun Wang},
journal= {arXiv preprint arXiv:2303.10641},
year = {2023}
}