Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2DARMA models

Abstract

We introduce a new method to qualify the goodness of fit parameter estimation of compound Wishart models. Our method based on the free deterministic equivalent Z-score, which we introduce in this paper. Furthermore, an application to two dimensional autoregressive moving-average model is provided. Our proposal method is a generalization of statistical hypothesis testing to one dimensional moving average model based on fluctuations of real compound Wishart matrices, which is a recent result by Hasegawa, Sakuma and Yoshida.

14 pages, 7 figures

References in corpus (2)

• Second Order Freeness and Fluctuations of Random Matrices: II. Unitary Random Matrices
• Second Order Freeness and Fluctuations of Random Matrices, III. Higher order freeness and free cumulants

Cited by in corpus (1)

• Cauchy noise loss for stochastic optimization of random matrix models via free deterministic equivalents