Affiliation:
1. Graduate School of Mathematical Sciences the University of Tokyo, 3-8-1 Komaba Meguro-ku, Tokyo 153-8914, Japan
Abstract
We introduce a new method to qualify the goodness of fit parameter estimation of compound Wishart models. Our method is based on the free deterministic equivalent [Formula: see text]-score, which we introduce in this paper. Furthermore, an application to two-dimensional autoregressive moving-average model is provided. Our proposed method is a generalization of statistical hypothesis testing to one-dimensional moving average model based on fluctuations of real compound Wishart matrices by Hasegawa et al. [A. Hasegawa, N. Sakuma and H. Yoshida, Fluctuations of Marchenko–Pastur limit of random matrices with dependent entries, Statist. Probab. Lett. 127 (2017) 85–96].
Publisher
World Scientific Pub Co Pte Lt
Subject
Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Statistics and Probability,Algebra and Number Theory