regstat: An Exact Test for a Change in Covariance (Dependence) Structure

An exact finite-sample test for whether two groups share a covariance matrix, the omnibus form of the differential-network question. Under the Gaussian null the likelihood-ratio statistic has a distribution given by the real Jacobi ensemble that is free of the unknown common covariance, so a single Monte-Carlo calibration at the identity serves every covariance with no estimate of the nuisance covariance; this is the property that survives the dimension barrier, where estimating the covariance is hardest. The max-type high-dimensional test of Cai, Liu and Xia (2013) <doi:10.1080/01621459.2012.758041> is provided for comparison. A pure-C back-end does the numerics and also backs the 'Python' package 'regstat'.

Version:	0.1.0
Imports:	stats
Suggests:	knitr, rmarkdown, testthat (≥ 3.0.0)
Published:	2026-09-24
DOI:	10.32614/CRAN.package.regstat
Author:	M. Theodor Loots [aut, cre]
Maintainer:	M. Theodor Loots <theo.loots at gmail.com>
BugReports:	https://github.com/mtloots/regstat/issues
License:	GPL-3
URL:	https://github.com/mtloots/regstat
NeedsCompilation:	yes
Materials:	README, NEWS
CRAN checks:	regstat results

Documentation:

Reference manual:	regstat.html , regstat.pdf
Vignettes:	An exact test for a change in covariance structure (source, R code)

Downloads:

Package source:	regstat_0.1.0.tar.gz
Windows binaries:	r-devel: regstat_0.1.0.zip, r-release: regstat_0.1.0.zip, r-oldrel: regstat_0.1.0.zip
macOS binaries:	r-release (arm64): regstat_0.1.0.tgz, r-oldrel (arm64): regstat_0.1.0.tgz, r-release (x86_64): regstat_0.1.0.tgz, r-oldrel (x86_64): regstat_0.1.0.tgz

Linking:

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