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A general method for power analysis in testing high dimensional covariance matrices

01/26/2021
by   Qiyang Han, et al.
0

Covariance matrix testing for high dimensional data is a fundamental problem. A large class of covariance test statistics based on certain averaged spectral statistics of the sample covariance matrix are known to obey central limit theorems under the null. However, precise understanding for the power behavior of the corresponding tests under general alternatives remains largely unknown. This paper develops a general method for analyzing the power behavior of covariance test statistics via accurate non-asymptotic power expansions. We specialize our general method to two prototypical settings of testing identity and sphericity, and derive sharp power expansion for a number of widely used tests, including the likelihood ratio tests, Ledoit-Nagao-Wolf's test, Cai-Ma's test and John's test. The power expansion for each of those tests holds uniformly over all possible alternatives under mild growth conditions on the dimension-to-sample ratio. Interestingly, although some of those tests are previously known to share the same limiting power behavior under spiked covariance alternatives with a fixed number of spikes, our new power characterizations indicate that such equivalence fails when many spikes exist. The proofs of our results combine techniques from Poincaré-type inequalities, random matrices and zonal polynomials.

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