Testing for high-dimensional white noise
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Testing for multi-dimensional white noise is an important subject in statistical inference. Such test in the high-dimensional case becomes an open problem waiting to be solved, especially when the dimension of a time series is comparable to or even greater than the sample size. To detect an arbitrary form of departure from high-dimensional white noise, a few tests have been developed. Some of these tests are based on max-type statistics, while others are based on sum-type ones. Despite the progress, an urgent issue awaits to be resolved: none of these tests is robust to the sparsity of the serial correlation structure. Motivated by this, we propose a Fisher's combination test by combining the max-type and the sum-type statistics, based on the established asymptotically independence between them. This combination test can achieve robustness to the sparsity of the serial correlation structure,and combine the advantages of the two types of tests. We demonstrate the advantages of the proposed test over some existing tests through extensive numerical results and an empirical analysis.
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