Testing Kronecker product covariance matrices for high-dimensional matrix-variate data
高维矩阵数据的 Kronecker 积协方差检验
Summary The Kronecker product covariance structure provides an efficient way to model the inter-correlations of matrix-variate data. In this paper, we propose test statistics for the Kronecker product covariance matrix based on linear spectral statistics of renormalized sample covariance matrices. A central limit theorem is proved for the linear spectral statistics, with explicit formulas for the mean and covariance functions, thereby filling a gap in the literature. We then…