A hybrid two-sample covariance test combines a Frobenius-norm U-statistic with leading-eigenvalue statistics via Fisher's method, justified by a new joint central limit theorem.
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A New Two-Sample Test for Covariance Matrices in High Dimensions: U-Statistics Meet Leading Eigenvalues
A hybrid two-sample covariance test combines a Frobenius-norm U-statistic with leading-eigenvalue statistics via Fisher's method, justified by a new joint central limit theorem.