CONTIGUITY UNDER HIGH-DIMENSIONAL GAUSSIANITY WITH APPLICATIONS TO COVARIANCE TESTING

Le Cam's third/contiguity lemma is a fundamental probabilistic tool to compute the limiting distribution of a given statistic T-n under a nonnull 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 nonasymptotic 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.