Asymptotic testing of covariance separability for matrix elliptical data

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 $t$-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.