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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 tt-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.

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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

R2 v1 2026-07-01T09:17:15.557Z