2020
A Whiteness Test Based on the Spectral Measure of Large Non-Hermitian Random Matrices
ICASSP 2020accepted
In the context of multivariate time series, a whiteness test against an MA(1) correlation model is proposed. This test is built on the eigenvalue distribution (spectral measure) of the non-Hermitian one-lag sample autocovariance matrix, instead of its singular value distribution. The large dimension…