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