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arXiv · 2303.10641

Spatial-sign based High Dimensional White Noises Test

Ping Zhao·Dachuan Chen·Zhaojun Wang
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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.

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Ping Zhao, Dachuan Chen, Zhaojun Wang. 2023-03-19. Spatial-sign based High Dimensional White Noises Test. https://arxiv.org/abs/2303.10641

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