Contiguity under high dimensional Gaussianity with applications to covariance testing

TL;DR

This paper introduces a non-asymptotic contiguity method for high-dimensional Gaussian models, enabling precise power analysis of covariance tests without relying on the classical likelihood ratio behavior.

Contribution

It develops a new contiguity framework applicable in high-dimensional settings, bypassing the need for likelihood ratio stabilization and extending analysis to a broader class of covariance tests.

Findings

Derived asymptotically exact power formulas for covariance tests

Applicable to likelihood ratio and trace tests in high dimensions

Revealed new phenomena in test behavior beyond previous methods

Abstract

Le Cam's third/contiguity lemma is a fundamental probabilistic tool to compute the limiting distribution of a given statistic $T_n$ under a non-null sequence of probability measures $\{Q_n\}$, provided its limiting distribution under a null sequence $\{P_n\}$ is available, and the log likelihood ratio $\{\log (dQ_n/dP_n)\}$ has a distributional limit. Despite its wide-spread applications to low-dimensional statistical problems, the stringent requirement of Le Cam's third/contiguity lemma on the distributional limit of the log likelihood ratio makes it challenging, or even impossible to use in many modern high-dimensional statistical problems. This paper provides a non-asymptotic analogue of Le Cam's third/contiguity lemma under high dimensional normal populations. Our contiguity method is particularly compatible with sufficiently regular statistics $T_n$: the regularity of $T_n$ effectively reduces both the problems of (i) obtaining a null (Gaussian) limit distribution and of (ii) verifying our new quantitative contiguity condition, to those of derivative calculations and moment bounding exercises. More important, our method bypasses the need to understand the precise behavior of the log likelihood ratio, and therefore possibly works even when it necessarily fails to stabilize -- a regime beyond the reach of classical contiguity methods. As a demonstration of the scope of our new contiguity method, we obtain asymptotically exact power formulae for a number of widely used high-dimensional covariance tests, including the likelihood ratio tests and trace tests, that hold uniformly over all possible alternative covariance under mild growth conditions on the dimension-to-sample ratio. These new results go much beyond the scope of previous available case-specific techniques, and exhibit new phenomenon regarding the behavior of these important class of covariance tests.