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.
Here ( p1, p2, n) = (20, 20, 1600)
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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.