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.
Generalized four moment theorem and an application to clt for spiked eigenvalues of high-dimensional covariance matrices.Bernoulli, 27(1):274–294
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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.