Detecting positive correlations in a multivariate sample

Abstract

We consider the problem of testing whether a correlation matrix of a multivariate normal population is the identity matrix. We focus on sparse classes of alternatives where only a few entries are nonzero and, in fact, positive. We derive a general lower bound applicable to various classes and study the performance of some near-optimal tests. We pay special attention to computational feasibility and construct near-optimal tests that can be computed efficiently. Finally, we apply our results to prove new lower bounds for the clique number of high-dimensional random geometric graphs.