The Li-Chen U-statistic test for equality of high-dimensional covariance matrices is shown to be asymptotically valid and powerful under generalized elliptical models, with a new central limit theorem and variance formula.
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Two-Sample Covariance Inference in High-Dimensional Elliptical Models
The Li-Chen U-statistic test for equality of high-dimensional covariance matrices is shown to be asymptotically valid and powerful under generalized elliptical models, with a new central limit theorem and variance formula.