W. Ploberger

Local Optimality and Rigidity of Frobenius Tests for Dense High-Dimensional Covariance Alternatives

We study identity testing for high-dimensional covariance matrices against dense alternatives of unknown direction, with $p/n \to \gamma$. Along a globally positive quadratic precision path, mixing Gaussian alternatives over a Gaussian Orthogonal Ensemble direction yields a contiguous experiment whose log likelihood re...