Optimal hypothesis testing for high dimensional covariance matrices

Abstract

This paper considers testing a covariance matrix $Σ$ in the high dimensional setting where the dimension $p$ can be comparable or much larger than the sample size $n$. The problem of testing the hypothesis $H_0:Σ=Σ_0$ for a given covariance matrix $Σ_0$ is studied from a minimax point of view. We first characterize the boundary that separates the testable region from the non-testable region by the Frobenius norm when the ratio between the dimension $p$ over the sample size $n$ is bounded. A test based on a $U$-statistic is introduced and is shown to be rate optimal over this asymptotic regime. Furthermore, it is shown that the power of this test uniformly dominates that of the corrected likelihood ratio test (CLRT) over the entire asymptotic regime under which the CLRT is applicable. The power of the $U$-statistic based test is also analyzed when $p/n$ is unbounded.