Journal of East China Normal University(Natural Science) >

2023 , Vol. 2023 >Issue 2: 48 - 59

DOI: https://doi.org/10.3969/j.issn.1000-5641.2023.02.007

Mathematics

Hypothesis testing for the precision matrix of high-dimensional periodic vector autoregressive model

  • Jin ZOU
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  • School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai　200240, China

Received date: 2021-04-06

  Online published: 2023-03-23

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Abstract

The precision (inverse covariance) matrix generated by the periodic vector autoregressive model is a sparse block tridiagonal matrix. Based on this precision matrix, a new block trace function is proposed for testing the equality of block traces of two precision matrices, the asymptotic behavior under the null hypothesis is investigated. Numerical experiments show that the proposed testing procedure has both appropriate size and good power.

Key words： hypothesis testing; periodic vector autoregressive model; precision matrix; block tridiagonal matrix

Cite this article

Jin ZOU . Hypothesis testing for the precision matrix of high-dimensional periodic vector autoregressive model[J]. Journal of East China Normal University(Natural Science), 2023 , 2023(2) : 48 -59 . DOI: 10.3969/j.issn.1000-5641.2023.02.007

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