An adaptive $L_2$-type test for high-dimensional white noise

Abstract

We propose a new $L_2$-type test for white noise which allows the dimension $p$ of the time series to either (i) be a fixed constant, or (ii) diverge with the sample size $n$. The proposed test statistic exhibits an interesting phase transition, following two different regimes of behavior: $p$ is fixed, and $p\to \infty$. Because identification of the operable regime is difficult, if not impossible in practice, we devise a novel adaptive bootstrap method to construct unified testing procedure across different phases. Numerical experiments confirm the good finite sample performance of the proposed adaptive $L_2$-type test in comparison to the existing methods in the literature. The proposed testing procedure has been implemented in R package HDTSA.