Asymptotic testing of covariance separability for matrix elliptical data
Statistics Theory
2026-01-26 v1 Methodology
Statistics Theory
Abstract
We propose a new asymptotic test for the separability of a covariance matrix. The null distribution is valid in wide matrix elliptical model that includes, in particular, both matrix Gaussian and matrix -distribution. The test is fast to compute and makes no assumptions about the component covariance matrices. An alternative, Wald-type version of the test is also proposed. Our simulations reveal that both versions of the test have good power even for heavier-tailed distributions and can compete with the Gaussian likelihood ratio test in the case of normal data.
Cite
@article{arxiv.2601.16684,
title = {Asymptotic testing of covariance separability for matrix elliptical data},
author = {Joni Virta and Takeru Matsuda},
journal= {arXiv preprint arXiv:2601.16684},
year = {2026}
}
Comments
21 pages, 2 figures