Zhang, M., Zhang, S. A Frequency-Domain Test for Multivariate White Noise. J Stat Theory Pract 18, 22 (2024). https://doi.org/10.1007/s42519-024-00374-7

A Frequency-Domain Test for Multivariate White Noise

Mingjuan Zhang & Shibin Zhang 

Original Article

Published: 01 April 2024

Volume 18, article number 22, (2024)

Abstract

In this paper, we propose a novel frequency-domain test for multivariate time series white noise. The proposed test statistic is constructed by maximizing two normalized cumulative sums of frequency-domain series. Under the null hypothesis, each normalized cumulative sum converges in distribution to a standard Brownian bridge. The numerical results indicate that the proposed statistic outperforms commonly-used-ones both in empirical size and in empirical power. Not only the proposed test is independent of any choice of lag parameter, but the computation is very efficient with the aid of the function qCvM in R package goftest.

https://doi.org/10.1007/s42519-024-00374-7

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