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Activity Number: 61 - New Developments in Complex Time Series Data
Type: Topic Contributed
Date/Time: Sunday, July 30, 2017 : 4:00 PM to 5:50 PM
Sponsor: IMS
Abstract #324244
Title: White Noise Test for High-Dimensional Time Series
Author(s): Han Xiao*
Companies: Rutgers University

White noise test is a fundamental problem of multivariate time series analysis. We consider test statistics based on normalized sample cross covariances and some other variants. Limiting distributions are obtained in the "large dimension, large sample size" paradigm, and under the presence of nonlinear temporal dependence. Bootstrap procedures are applied to improve finite sample performances.

Authors who are presenting talks have a * after their name.

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