A study of two high-dimensional likelihood ratio tests under alternative hypotheses

Abstract

Let [Formula: see text] be a [Formula: see text]-dimensional normal distribution. Testing [Formula: see text] equal to a given matrix or [Formula: see text] equal to a given pair through the likelihood ratio test (LRT) is a classical problem in the multivariate analysis. When the population dimension [Formula: see text] is fixed, it is known that the LRT statistics go to [Formula: see text]-distributions. When [Formula: see text] is large, simulation shows that the approximations are far from accurate. For the two LRT statistics, in the high-dimensional cases, we obtain their central limit theorems under a big class of alternative hypotheses. In particular, the alternative hypotheses are not local ones. We do not need the assumption that [Formula: see text] and [Formula: see text] are proportional to each other. The condition [Formula: see text] suffices in our results.