Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data

摘要

This article proposes several tests for detecting serial correlation and ARCH effect in high-dimensional data. The dimension of data may go to infinity when the sample size . It is shown that the sample autocorrelations and the sample rank autocorrelations (Spearman's rank correlation) of the L-1-norm of data are asymptotically normal. Two portmanteau tests based, respectively, on the norm and its rank are shown to be asymptotically chi(2)-distributed, and the corresponding weighted portmanteau tests are shown to be asymptotically distributed as a linear combination of independent chi(2) random variables. These tests are dimension-free, that is, independent of p, and the norm rank-based portmanteau test and its weighted counterpart can be used for heavy-tailed time series. We further discuss two standardized norm-based tests. Simulation results show that the proposed test statistics have satisfactory sizes and are powerful even for the case of small n and large p. We apply the tests to two real datasets. for this article are available online.