Testing for high-dimensional white noise using maximum cross-correlations
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DOI: 10.1093/biomet/asw066
Abstract: SUMMARY We propose a new omnibus test for vector white noise using the maximum absolute autocorrelations and cross-correlations of the component series. Based on an approximation by the $L_\infty$-norm of a normal random vector, the… read more here.
Keywords: using maximum; cross correlations; test; noise using ... See more keywords