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arXiv · 1710.09497

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

Tomohiro Hayase
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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.

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Tomohiro Hayase. 2017-10-25. Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2DARMA models. https://arxiv.org/abs/1710.09497

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