Proposes invariant tests for separability of high-dimensional covariance matrices by showing equivalence to sphericity testing on the core component, with asymptotic spectral equivalence results and numerical power comparisons.
High-dimensional sphericity test by extended likelihood ratio
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Testing Separability of High-Dimensional Covariance Matrices
Proposes invariant tests for separability of high-dimensional covariance matrices by showing equivalence to sphericity testing on the core component, with asymptotic spectral equivalence results and numerical power comparisons.