Tests for Large Dimensional Covariance Structure Based on Rao's Score Test

Abstract

This paper proposes a new test for covariance matrices structure based on the correction to Rao's score test in large dimensional framework. By generalizing the CLT for the linear spectral statistics of large dimensional sample covariance matrices, the test can be applicable for large dimensional non-Gaussian variables in a wider range without the restriction of the 4th moment. Moreover, the amending Rao's score test is also powerful even for the ultra high dimensionality as $p \gg n$, which breaks the inherent idea that the corrected tests by RMT can be only used when $p<n$. Finally, we compare the proposed test with other high dimensional covariance structure tests to evaluate their performances through the simulation study.