Package {kro.inv.test}

Title:	Kronecker-Invariant Tests for High-Dimensional Separability Testing
Version:	0.1.1
Description:	Kronecker-invariant tests for high-dimensional separability testing of matrix-variate data, focusing on Gaussian populations as benchmark cases. Tests whether the population covariance matrix is represented as a Kronecker product of row and column covariance matrices. Implements the tests based on the eigenvalues of the sample core whose test statistics are invariant to the separable component of the population covariance matrix, referred to as Kronecker-invariance. Tests constructed using the largest eigenvalue and the separable expansion of the sample core and applying the extended likelihood ratio test for sphericity testing to the sample core. For details, see Sung and Hoff (2025) <doi:10.48550/arXiv.2506.17463>.
License:	GPL-3
Encoding:	UTF-8
RoxygenNote:	8.0.0
Imports:	RMTstat, RSpectra, covKCD, pracma, stats
URL:	https://github.com/Seungbongjung/kro.inv.test
BugReports:	https://github.com/Seungbongjung/kro.inv.test/issues
NeedsCompilation:	no
Packaged:	2026-07-06 15:40:20 UTC; bs403
Author:	Bongjung Sung [aut, cre]
Maintainer:	Bongjung Sung <bongjung.sung@duke.edu>
Repository:	CRAN
Date/Publication:	2026-07-15 17:50:07 UTC

Sample covariance matrix of the data tensor.

Description

Compute the sample covariance matrix of a given data tensor.

Usage

dat2cov(dat, center)

Arguments

Value

the sample covariance matrix of a given data tensor dat.

Author(s)

Bongjung Sung

Examples

set.seed(100)
X=array(rnorm(36),dim=c(3,3,4))
dat2cov(X,center=TRUE)

Test statistic based on the extended LRT for sphericity testing under the alternative regime

Description

Implement the Monte-Carlo simulations of the test statistic based on the the extended LRT, applied to the sample core \hat{C}, for Gaussian populations as benchmark cases under the alternative regime. Here the sample core \hat{C} refers to the core component of the sample covariance matrix S. The test statistic may be transformed following Theorem 1–2 of Wang and Xu (2021) if trans=TRUE. This transformation is based on the quantities depending only on (n,p_1,p_2). For the details, see Section 3.2 and 5.1 of Sung and Hoff (2025). The population covariance matrix should be specified in sigma. Also, if the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, the data should be centered.

Usage

elrt.alt(
  n,
  p1,
  p2,
  sigma,
  center = TRUE,
  trans = TRUE,
  samp.num = 1000,
  iter = 10
)

Arguments

Value

the vector of samp.num Monte-Carlo simulated test statistics based on the extended LRT, applied to the sample core, under the alternative.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Wang, Z. and Xu, X. (2021). High-dimensional sphericity test by extended likelihood ratio. Metrika 84:1169—-1212.

Examples

p1=12; p2=10; r=4; n=200

set.seed(100)
para.list=pi.rank_r.core(p1,p2,r,lambda.gen=FALSE)
Sigma=pi.core(para.list,lambda0=0.95)

elrt.alt(n,p1,p2,Sigma,center=FALSE,samp.num=20)

Test statistic based on the extended LRT for sphericity testing under the null

Description

Implement the Monte-Carlo simulations of the test statistic based on the the extended LRT, applied to the sample core \hat{C}, for Gaussian populations as benchmark cases under the null hypothesis of separability. Here the sample core \hat{C} refers to the core component of the sample covariance matrix S. The extended LRT by Wang and Xu (2021) aims to test the sphericity of the population covariance matrix. The test statistic may be transformed following Theorem 1–2 of Wang and Xu (2021) if trans=TRUE. This transformation is based on the quantities depending only on (n,p_1,p_2). For the details, see Section 3.2 and 5.1 of Sung and Hoff (2025). Also, if the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, the data should be centered.

Usage

elrt.null(n, p1, p2, center = TRUE, trans = TRUE, samp.num = 1000, iter = 10)

Arguments

Value

the vector of samp.num Monte-Carlo simulated null test statistics based on the extended LRT, applied to the sample core.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Wang, Z. and Xu, X. (2021). High-dimensional sphericity test by extended likelihood ratio. Metrika 84:1169—-1212.

Examples

p1=10; p2=8; n=100

set.seed(100)
elrt.null(n,p1,p2,center=FALSE,samp.num=20)

Parameters of the transformation for the extended LRT statistic

Description

Compute the parameters associated with transforming the extended LRT statistic based on the sample core.

Usage

elrt.para(p1, p2, n)

Arguments

Value

a parameter that is associated with transforming the extended LRT statistic based on the sample core.

Author(s)

Bongjung Sung

Examples

p1=20; p2=10; n=200
elrt.para(p1,p2,n)

Empirical power of the test based on the extended LRT to the sample core under Gaussian populations

Description

Evaluate the empirical power of the test based on the extended LRT to the sample core \hat{ C } with n i.i.d. random matrices generated according to N_{p_1 \times p_2} (0, \Sigma) with given \Sigma (specified in sigma). The power is evaluated with the transformed test statistic following Theorem 1–2 of Wang and Xu (2021). Given a level \alpha \in (0,1) (specified in alpha), the parametric power is evaluated. To this end, the p-value (para.pval) is first evaluated for each test statistic by comparing it to the Monte-Carlo approximated null distribution (null.stat). Then the power (para.power) is evaluated as the proportion of these p-values smaller than \alpha. For details, see Section 5.2 of Sung and Hoff (2025). If the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, you should center the data (center=TRUE).

Usage

elrt.power(
  n,
  p1,
  p2,
  sigma,
  alpha = 0.05,
  center = TRUE,
  null.samp.num = 1000,
  alt.samp.num = 1000,
  iter = 10
)

Arguments

Value

elrt.power returns a list of the following elements:

alt.stat

the vector of alt.samp.num Monte-Carlo simulated test statistics under N_{p_1 \times p_2}(0, \code{sigma}) after some transformation;

null.stat

the vector of null.samp.num Monte-Carlo simulated test statistics under the null after some transformation;

para.pval

the vector of p-values for each test statistic in alt.stat evaluated based on Monte-Carlo approximated empirical null distribution (null.stat);

para.power

the proportion of the p-values in para.pval smaller than alpha;

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Wang, Z. and Xu, X. (2021). High-dimensional sphericity test by extended likelihood ratio. Metrika 84:1169—-1212.

Examples

p1=12; p2=8; r=4; n=120

set.seed(100)
para.list=pi.rank_r.core(p1,p2,r,lambda.gen=FALSE)
Sigma=pi.core(para.list,lambda0=0.98)

elrt.power(n,p1,p2,Sigma,center=FALSE,null.samp.num=20,alt.samp.num=20)

Empirical power of the test based on the extended LRT to the sample core with the given data

Description

Evaluate the empirical power of the test based on the extended LRT to the sample core \hat{ C } with the tensor data, Y \in \mathbb{R}^{n \times p_1 \times p_2}. The power is evaluated with the transformed test statistic following Theorem 1–2 of Wang and Xu (2021). Given a level \alpha \in (0,1) (specified in alpha), the parametric power is evaluated. To this end, the p-value (para.pval) is first evaluated for each test statistic by comparing it to the Monte-Carlo approximated null distribution (null.stat). Then the power (para.power) is evaluated as the proportion of these p-values smaller than \alpha. For details, see Section 5.2 of Sung and Hoff (2025). If the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, you should center the data (center=TRUE).

Usage

elrt.power.dat(dat, center = TRUE, samp.num = 1000, iter = 10)

Arguments

Value

elrt.power.dat returns a list with the following elements:

test.stat

the computed test statistic based on dat after some transformation;

null.stat

the vector of samp.num Monte-Carlo simulated null test statistics after some transformation;

para.pval

the p-value evaluated based on Monte-Carlo approximated empirical null distribution (null.stat);

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Wang, Z. and Xu, X. (2021). High-dimensional sphericity test by extended likelihood ratio. Metrika 84:1169—-1212.

Examples

p1=14; p2=10; r=4; n=200
p=p1*p2

set.seed(100)
para.list=pi.rank_r.core(p1,p2,r,lambda.gen=FALSE)
Sigma=pi.core(para.list,lambda0=0.98)
Sigma.root=sym.root(Sigma)

dat=crossprod(Sigma.root,matrix(rnorm(n*p),ncol=n))
dat=array(dat,dim=c(p1,p2,n))
dat=aperm(dat,perm=c(3,1,2))
elrt.power.dat(dat,center=FALSE,samp.num=20)

Test statistic based on the largest eigenvalue of the sample core under the alternative regime

Description

Implement the Monte-Carlo simulations of the test statistic based on the largest eigenvalue of the sample core \hat{C} for Gaussian populations as benchmark cases under the alternative regime. Here the sample core \hat{C} refers to the core component of the sample covariance matrix S. The test statistic may be transformed to approximate the Tracy-Widom (TW) law if trans=TRUE, particularly under the local alternative regime (see Theorem 2 of Sung and Hoff (2025)). This transformation is based on the quantities depending only on (n,p_1,p_2). If the population covariance matrix of the mean is assumed to be known (sigma.known=TRUE), the transformation is done regardless of trans based on the Kronecker MLE (the separable component of S). For the details, see (20) of Sung and Hoff (2025). Unless transformed, the function will return the values of \lambda_1 (\hat{C}). Also, if the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, the data should be centered.

Usage

large.eig.alt(
  n,
  p1,
  p2,
  sigma,
  center = TRUE,
  trans = TRUE,
  sigma.known = FALSE,
  samp.num = 1000,
  iter = 10
)

Arguments

Value

the vector of samp.num Monte-Carlo simulated test statistics based on the largest eigenvalue of the sample core under the alternative.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=12; p2=8; n=120

set.seed(100)
para.list=pi.rank2.core(p1,p2,lambda.gen=FALSE)

lambda=1-(1/(96/2+1))
Sigma=pi.core(para.list,lambda0=lambda)
large.eig.alt(n,p1,p2,sigma=Sigma,center=FALSE,samp.num=20)

Test statistic based on the largest eigenvalue of the sample core under the null

Description

Implement the Monte-Carlo simulations of the test statistic based on the largest eigenvalue of the sample core \hat{C} for Gaussian populations as benchmark cases under the null hypothesis of separability. Here the sample core \hat{C} refers to the core component of the sample covariance matrix S. The test statistic may be transformed to approximate the Tracy-Widom (TW) law if trans=TRUE. This transformation is based on the quantities depending only on (n,p_1,p_2). If the population covariance matrix under the null is assumed to be known (sigma.known=TRUE), the transformation is done regardless of trans based on the Kronecker MLE (the separable component of S). For the details, see (20) of Sung and Hoff (2025). Unless transformed, the function will return the values of \lambda_1 (\hat{C}). Also, if the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, the data should be centered.

Usage

large.eig.null(
  n,
  p1,
  p2,
  center = TRUE,
  trans = TRUE,
  sigma.known = FALSE,
  samp.num = 1000,
  iter = 10
)

Arguments

Value

the vector of samp.num Monte-Carlo simulated null test statistics based on the largest eigenvalue of the sample core.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=10; p2=10; n=400
set.seed(100)
large.eig.null(n,p1,p2,center=FALSE,samp.num=20)

Empirical power of the test based on the largest eigenvalue of the sample core under Gaussian populations

Description

Evaluate the empirical power of the test based on \lambda_1 (\hat{C}) with n i.i.d. random matrices generated according to N_{p_1 \times p_2} (0, \Sigma) for the sample core \hat{C} with given \Sigma (specified in sigma). The power is evaluated with the transformed \lambda_1 (\hat{C}) so that it may follow the Tracy-Widom law under the null and some local alternative regimes (see Theorem 2 of Sung and Hoff (2025)). Given a level \alpha \in (0,1) (specified in alpha), both parametric and nonparametric power are evaluated. For the parametric power, the p-value (para.pval) is first evaluated for each test statistic by comparing it to the Monte-Carlo approximated null distribution (null.stat). Then the power (para.power) is evaluated as the proportion of these p-values smaller than \alpha. Similarly, to compute the nonparametric power, the p-value (nonpara.pval) is first evaluated for each test statistic by comparing it to the Tracy-Widom law. Finally, the power (nonpara.power) is evaluated as an analogy to para.power. For details, see Section 5.2 of Sung and Hoff (2025). If the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, you should center the data (center=TRUE).

Usage

large.eig.power(
  n,
  p1,
  p2,
  sigma,
  alpha = 0.05,
  center = TRUE,
  null.samp.num = 1000,
  alt.samp.num = 1000,
  iter = 10
)

Arguments

Value

large.eig.power returns a list of the following elements:

alt.stat

the vector of alt.samp.num Monte-Carlo simulated test statistics under N_{p_1 \times p_2}(0, \code{sigma}) after some transformation;

null.stat

the vector of null.samp.num Monte-Carlo simulated test statistics under the null after some transformation;

para.pval

the vector of p-values for each test statistic in alt.stat evaluated based on Monte-Carlo approximated empirical null distribution (null.stat);

para.power

the proportion of the p-values in para.pval smaller than alpha;

nonpara.pval

the vector of p-values for each test statistic in evaluated by comparing the test statistic to the Tracy-Widom law;

nonpara.power

the proportion of the p-values in nonpara.pval smaller than alpha.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=10; p2=12; n=200

set.seed(100)
para.list=pi.rank2.core(p1,p2,lambda.gen=FALSE)

lambda=1-(0.84/(120/2+0.84))
Sigma=pi.core(para.list,lambda0=lambda)
large.eig.power(n,p1,p2,Sigma,center=FALSE,null.samp.num=20,alt.samp.num=20)

Empirical power of the test based on the largest eigenvalue of the sample core with the given data

Description

Evaluate the empirical power of the test based on \lambda_1 (\hat{C}) with the tensor data, Y \in \mathbb{R}^{n \times p_1 \times p_2}. The power is evaluated with the transformed \lambda_1 (\hat{C}) so that it may follow the Tracy-Widom law under the null and some local alternative regimes (see Theorem 2 of Sung and Hoff (2025)). The parametric p-value (para.pval) is evaluated for each test statistic by comparing it to the Monte-Carlo approximated null distribution (null.stat). On the other hand, the nonparametric p-value (nonpara.pval) is evaluated for each test statistic by comparing it to the Tracy-Widom law. For details, see Section 5.2 of Sung and Hoff (2025). If the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, you should center the data (center=TRUE).

Usage

large.eig.power.dat(dat, center = TRUE, samp.num = 1000, iter = 10)

Arguments

Value

large.eig.power.dat returns a list with the following elements:

test.stat

the computed test statistic based on dat after some transformation;

null.stat

the vector of samp.num Monte-Carlo simulated null test statistics after some transformation;

para.pval

the p-value evaluated based on Monte-Carlo approximated empirical null distribution (null.stat);

nonpara.pval

the p-value evaluated by comparing the test statistic to the Tracy-Widom law.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=10; p2=12; r=4; n=150
p=p1*p2

set.seed(100)
para.list=pi.rank_r.core(p1,p2,r,lambda.gen=FALSE)

# local alternative
Sigma=pi.core(para.list,lambda0=0.8)
Sigma.root=sym.root(Sigma)
dat=crossprod(Sigma.root,matrix(rnorm(n*p),ncol=n))
dat=array(dat,dim=c(p1,p2,n))
dat=aperm(dat,perm=c(3,1,2))
large.eig.power.dat(dat,center=FALSE,samp.num=20)

A covariance matrix with a partial-isotropy rank-r core.

Description

Given a list of parameters constituting the covariance matrix with a partial-isotropy rank-r core, the function assembles the covariance matrix using these parameters.

Usage

pi.core(para.list, lambda0 = 0.5, root = "sym")

Arguments

Value

a p1p2 \times p1p2 covariance matrix \Sigma with a partial-isotropy rank-r core. The attribute \lambda of \Sigma denotes the value of the non-spiked eigenvalue.

Author(s)

Bongjung Sung

Examples

set.seed(100)
# generate a list of parameters for a covariance matrix of a partial-isotropy core.
p1=14; p2=10; r=3
para.list=pi.rank_r.core(p1,p2,r)
# assembles the covariance matrix using the above list of parameters.
pi.core(para.list)

Partial-isotropy rank-1 core

Description

Randomly generate a list of parameters for the covariance matrix with a partial-isotropy rank-1 core for square matrix-variate data.

Usage

pi.rank1.core(p1, lambda.gen = TRUE)

Arguments

Details

If a core covariance matrix is of rank-1, the data should be a square matrix. Thus, the row and column dimensions must coincide. The covariance matrix \Sigma with a partial-isotropy rank-1 core takes the form of

\Sigma = (K_2 \otimes K_1)^{1/2}((1- \lambda) \mathrm{vec}(A) \mathrm{vec}(A)^\top + \lambda I_{p_1^2})(K_2 \otimes K_1)^{1/2, \top}

for \lambda \in (0,1), positive definite matrices K_1, K_2 of the same dimensions p_1 \times p_1, and A \in \mathbb{R}^{p_1 \times p_1} such that \mathrm{vec}(A) \mathrm{vec}(A)^\top is a rank-1 core. Here M^{1/2} denotes either symmetric square root or the Cholesky factor of a positive definite matrix M. The separable and core components of \Sigma, denoted K and C, are

K=K_2\otimes K_1,\quad C=(1- \lambda) \mathrm{vec}(A) \mathrm{vec}(A)^\top + \lambda I_{p_1^2}.

For the exact formula, see Theorem 1 of Sung and Hoff (2025).

Value

pi.rank1.core returns a list with the following elements:

K1

the row covariance matrix of dimension p1 \times p1;

K2

the column covariance matrix of dimension p1 \times p1;

A

the factor matrix of a rank-1 core of dimension p1 \times p1 ;

lambda

If lambda.gen=TRUE, the non-spiked eigenvalue \lambda \in (0,1). Otherwise, NULL.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

set.seed(100)
p1=10
pi.rank1.core(p1)

Partial-isotropy rank-2 core

Description

Randomly generate a list of parameters for the covariance matrix with a partial-isotropy rank-2 core for matrix-variate data.

Usage

pi.rank2.core(p1, p2, lambda.gen = TRUE)

Arguments

Details

If a core covariance matrix is of rank-2, the dimension (p_1, p_2) should satisfy one of the followings: p_1 = p_2 or p_1 - p_2 | p_1 (p_1 > p_2), or p_2 - p_1 | p_2 (p_2 > p_1). The covariance matrix \Sigma with a partial-isotropy rank-2 core takes the form of

\Sigma = (K_2 \otimes K_1)^{1/2}((1- \lambda) A A^\top + \lambda I_{p_1 p_2})(K_2 \otimes K_1)^{1/2, \top}

for \lambda \in (0,1), positive definite matrices K_1 and K_2 of the dimensions p_1 \times p_1 and p_2 \times p_2, respectively, and A \in \mathbb{R}^{p_1p_2\times 2} whose ith column is a vectorization of p_1 \times p_2 matrix A_i such that AA^\top is a rank-2 core. Here M^{1/2} denotes either symmetric square root or the Cholesky factor of a positive definite matrix M. The separable and core components of \Sigma, denoted K and C, are

K=K_2\otimes K_1,\quad C=(1- \lambda) A A^\top + \lambda I_{p_1 p_2}.

For the exact formula, see Theorem 1 of Sung and Hoff (2025).

Value

pi.rank2.core returns a list with the following elements:

K1

the row covariance matrix of dimension p1 \times p1;

K2

the column covariance matrix of dimension p2 \times p2;

A

an array of factor matrices of a rank-2 core of dimension p1 \times p2 \times 2;

lambda

If lambda.gen=TRUE, the non-spiked eigenvalue \lambda \in (0,1). Otherwise, NULL.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

set.seed(100)
# It must be that p1=p2 or p1-p2|p1 (p1>p2) or p2-p1|p2 (p2>p1).
p1=12; p2=10
pi.rank2.core(p1,p2)

Partial-isotropy rank-r core.

Description

Randomly generate a list of parameters for the covariance matrix with a partial-isotropy rank-r core for matrix-variate data.

Usage

pi.rank_r.core(p1, p2, r, lambda.gen = TRUE)

Arguments

Details

If a core covariance matrix is of rank-r for general r, the dimension (p_1, p_2) should satisfy one of the followings: p_1/p_2 + p_2/p_1 <r or p_1 = p_2 r (p_1 \geq p_2), or p_2 = p_1 r (p_2 \geq p_1). The covariance matrix \Sigma with a partial-isotropy rank-r core takes the form of

\Sigma = (K_2 \otimes K_1)^{1/2}((1- \lambda) A A^\top + \lambda I_{p_1 p_2})(K_2 \otimes K_1)^{1/2, \top}

for \lambda \in (0,1), positive definite matrices K_1 and K_2 of the dimensions p_1 \times p_1 and p_2 \times p_2, respectively, and A \in \mathbb{R}^{p_1p_2\times r} whose ith column is a vectorization of p_1 \times p_2 matrix A_i such that AA^\top is a rank-r core. Here M^{1/2} denotes either symmetric square root or the Cholesky factor of a positive definite matrix M. The separable and core components of \Sigma, denoted K and C, are

K=K_2\otimes K_1,\quad C=(1- \lambda) A A^\top + \lambda I_{p_1p_2}.

For the exact formula when p_1=p_2 r or p_2=p_1 r, see Theorem 1 of Sung and Hoff (2025).

Value

pi.rank_r.core returns a list with the following elements:

K1

the row covariance matrix of dimension p1 \times p1;

K2

the column covariance matrix of dimension p2 \times p2;

A

an array of factor matrices of a rank-r core of dimension p1 \times p2 \times r;

lambda

If lambda.gen=TRUE, the non-spiked eigenvalue \lambda \in (0,1). Otherwise, NULL.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

set.seed(100)
# It must be that p1/p2+p2/p1<r or p1=p2r or p2=p1r
p1=12; p2=8; r=3
pi.rank_r.core(p1,p2,r)

Test statistic based on the separable expansion test under the alternative regime.

Description

Implement the Monte-Carlo simulations of the test statistic based on the separable expansion of the sample core \hat{C} for Gaussian populations as benchmark cases under the alternative regime. Here the sample core \hat{C} refers to the core component of the sample covariance matrix S. The test statistic is given by

T(Y)=|| \hat{C} ||_F^2/p-1,

where p = p_1 p_2 for row and column dimensions, p_1 and p_2, respectively. The test statistic may be transformed as nT(Y)-p-1 if trans=TRUE. For the details, see Section 3.3 and 5.1 of Sung and Hoff (2025). The population covariance matrix should be specified in sigma. Also, if the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, the data should be centered.

Usage

sep.exp.alt(
  n,
  p1,
  p2,
  sigma,
  center = TRUE,
  trans = TRUE,
  samp.num = 1000,
  iter = 10
)

Arguments

Value

the vector of samp.num Monte-Carlo simulated test statistics based on the separable expansion of the sample core under the alternative.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=5; p2=3; r=4; n=100

set.seed(100)
para.list=pi.rank_r.core(p1,p2,r,lambda.gen=FALSE)
Sigma=pi.core(para.list,lambda0=0.95)

sep.exp.alt(n,p1,p2,Sigma,center=FALSE,samp.num=20)

Test statistic based on the separable expansion test under the null

Description

Implement the Monte-Carlo simulations of the test statistic based on the separable expansion of the sample core \hat{C} for Gaussian populations as benchmark cases under the null hypothesis of separability. Here the sample core \hat{C} refers to the core component of the sample covariance matrix S. The test statistic is given by

T(Y)=|| \hat{C} ||_F^2/p-1,

where p = p_1 p_2 for row and column dimensions, p_1 and p_2, respectively. The test statistic may be transformed as nT(Y)-p-1 if trans=TRUE. For the details, see Section 3.3 and 5.1 of Sung and Hoff (2025). Also, if the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, the data should be centered.

Usage

sep.exp.null(
  n,
  p1,
  p2,
  center = TRUE,
  trans = TRUE,
  samp.num = 1000,
  iter = 10
)

Arguments

Value

the vector of samp.num Monte-Carlo simulated null test statistics based on the separable expansion of the sample core.

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=5; p2=3; n=60

set.seed(100)
sep.exp.null(n,p1,p2,center=FALSE,samp.num=20)

Empirical power of the test based on the separable expansion the sample core under Gaussian populations

Description

Evaluate the empirical power of the test based on the separable expansion of the sample core \hat{ C } with n i.i.d. random matrices generated according to N_{p_1 \times p_2} (0, \Sigma) with given \Sigma (specified in sigma). The test statistic is given by T(Y) = || \hat{C} ||_F^2/p-1. The power is evaluated with respect to nT(Y)-p-1. Given a level \alpha \in (0,1) (specified in alpha), the parametric power is evaluated. To this end, the p-value (para.pval) is first evaluated for each test statistic by comparing it to the Monte-Carlo approximated null distribution (null.stat). Then the power (para.power) is evaluated as the proportion of these p-values smaller than \alpha. For details, see Section 5.2 of Sung and Hoff (2025). If the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, you should center the data (center=TRUE).

Usage

sep.exp.power(
  n,
  p1,
  p2,
  sigma,
  alpha = 0.05,
  center = TRUE,
  null.samp.num = 1000,
  alt.samp.num = 1000,
  iter = 10
)

Arguments

Value

sep.exp.power returns a list of the following elements:

alt.stat

the vector of alt.samp.num Monte-Carlo simulated test statistics under N_{p_1 \times p_2}(0, \code{sigma}) after some transformation;

null.stat

the vector of null.samp.num Monte-Carlo simulated test statistics under the null after some transformation;

para.pval

the vector of p-values for each test statistic in alt.stat evaluated based on Monte-Carlo approximated empirical null distribution (null.stat);

para.power

the proportion of the p-values in para.pval smaller than alpha;

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=12; p2=10; r=4; n=100

set.seed(100)
para.list=pi.rank_r.core(p1,p2,r,lambda.gen=FALSE)
Sigma=pi.core(para.list,lambda0=0.98)

sep.exp.power(n,p1,p2,Sigma,center=FALSE,null.samp.num=20,alt.samp.num=20)

Empirical power of the test based on the separable expansion of the sample core with the given data

Description

Evaluate the empirical power of the test based on the separable expansion of the sample core \hat{ C } with the tensor data, Y \in \mathbb{R}^{n \times p_1 \times p_2}. The test statistic is given by T(Y) = || \hat{C} ||_F^2/p-1. The power is evaluated with respect to nT(Y)-p-1. Given a level \alpha \in (0,1) (specified in alpha), the parametric power is evaluated. To this end, the p-value (para.pval) is first evaluated for each test statistic by comparing it to the Monte-Carlo approximated null distribution (null.stat). Then the power (para.power) is evaluated as the proportion of these p-values smaller than \alpha. For details, see Section 5.2 of Sung and Hoff (2025). If the mean is assumed to be known, you may not center the data (center=FALSE). Otherwise, you should center the data (center=TRUE).

Usage

sep.exp.power.dat(dat, center = TRUE, samp.num = 1000, iter = 10)

Arguments

Value

sep.exp.power.dat returns a list with the following elements:

test.stat

the computed test statistic based on dat after some transformation;

null.stat

the vector of samp.num Monte-Carlo simulated null test statistics after some transformation;

para.pval

the p-value evaluated based on Monte-Carlo approximated empirical null distribution (null.stat);

Author(s)

Bongjung Sung

References

Sung, B. and Hoff, P. (2025). Testing Separability of High-Dimensional Covariance Matrices. arXiv preprint arXiv:2506.17463.

Examples

p1=10; p2=12; r=4; n=100
p=p1*p2

set.seed(100)
para.list=pi.rank_r.core(p1,p2,r,lambda.gen=FALSE)
Sigma=pi.core(para.list,lambda0=0.99)
Sigma.root=sym.root(Sigma)

dat=crossprod(Sigma.root,matrix(rnorm(n*p),ncol=n))
dat=array(dat,dim=c(p1,p2,n))
dat=aperm(dat,perm=c(3,1,2))
sep.exp.power.dat(dat,center=FALSE,samp.num=20)

Inverse symmetric square root

Description

Compute the inverse of the symmetric square root of a positive definite matrix.

Usage

sym.inv.root(cov)

Arguments

Value

the inverse of the symmetric square root of given a positive definite matrix cov.

Author(s)

Bongjung Sung

Examples

# generate a positive definite matrix
set.seed(100)
X=matrix(rnorm(4*10),ncol=4)
S=crossprod(X,X)/10
sym.inv.root(S)

Symmetric square root

Description

Compute the symmetric square root of a positive definite matrix.

Usage

sym.root(cov)

Arguments

Value

the symmetric square root of given a positive definite matrix cov.

Author(s)

Bongjung Sung

Examples

# generate a positive definite matrix
set.seed(100)
X=matrix(rnorm(4*10),ncol=4)
S=crossprod(X,X)/10
sym.root(S)

Parameters of the transformation to obtain the Tracy-Widom law

Description

Compute parameters associated with transforming the largest eigenvalue of the sample core to obtain TW-law.

Usage

tw.para(K1, K2, n)

Arguments

Value

a vector of parameters that are associated with transforming the largest eigenvalue of the sample core to obtain TW-law.

Author(s)

Bongjung Sung

Examples

set.seed(100)
p1=3; p2=5; n=60; p=p1*p2
X=matrix(rnorm(p*n),ncol=p)
S=crossprod(X,X)/n
S.kcd=covKCD::covKCD(S,p1,p2)
K1=S.kcd$K1
K2=S.kcd$K2
tw.para(K1,K2,n)