A Whiteness Test Based on the Spectral Measure of Large Non-Hermitian Random Matrices

Arup Bose; Walid Hachem

ICASSP 2020accepted0 citations

A Whiteness Test Based on the Spectral Measure of Large Non-Hermitian Random Matrices

Abstract

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 dimensional limit spectral measure of this matrix is derived. To obtain this result, a control over the smallest singular value of a related random matrix is provided. Numerical simulations show the excellent performance of this test.

BibTeX

@inproceedings{icassp2020_awhitenesstestba,
  title = {A Whiteness Test Based on the Spectral Measure of Large Non-Hermitian Random Matrices},
  author = {Arup Bose and Walid Hachem},
  booktitle = {ICASSP 2020},
  year = {2020}
}