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Spatial-sign based High Dimensional White Noises Test (2303.10641v1)
Published 19 Mar 2023 in math.ST and stat.TH
Abstract: A spatial-sign based test procedure is proposed for high dimensional white noise test in this paper. We establish the limit null distribution and give the asymptotical relative efficient of our test with respect to the test proposed by Feng et al. (2022) under some special alternative hypothesis. Simulation studies also demonstrate the efficiency and robustness of our test for heavy-tailed distributions.