Separability of high-dimensional matrix covariances can be tested by Monte Carlo sphericity after separable MLE whitening, with an angular version robust to heavy-tailed elliptical laws and consistency under dense alternatives.
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Testing Covariance Separability in High Dimensions
Separability of high-dimensional matrix covariances can be tested by Monte Carlo sphericity after separable MLE whitening, with an angular version robust to heavy-tailed elliptical laws and consistency under dense alternatives.