Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Locally Most Powerful Invariant Tests for Correlation and Sphericity of
  Gaussian Vectors   In this paper we study the existence of locally most powerful invariant tests
(LMPIT) for the problem of testing the covariance structure of a set of
Gaussian random vectors. The LMPIT is the optimal test for the case of close
hypotheses, among those satisfying the invariances of the problem, and in
practical scenarios can provide better performance than the typically used
generalized likelihood ratio test (GLRT). The derivation of the LMPIT usually
requires one to find the maximal invariant statistic for the detection problem
and then derive its distribution under both hypotheses, which in general is a
rather involved procedure. As an alternative, Wijsman's theorem provides the
ratio of the maximal invariant densities without even finding an explicit
expression for the maximal invariant. We first consider the problem of testing
whether a set of $N$-dimensional Gaussian random vectors are uncorrelated or
not, and show that the LMPIT is given by the Frobenius norm of the sample
coherence matrix. Second, we study the case in which the vectors under the null
hypothesis are uncorrelated and identically distributed, that is, the
sphericity test for Gaussian vectors, for which we show that the LMPIT is given
by the Frobenius norm of a normalized version of the sample covariance matrix.
Finally, some numerical examples illustrate the performance of the proposed
tests, which provide better results than their GLRT counterparts.

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The categories of this paper are: solv-int
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The categories of this paper are: atom-ph
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The categories of this paper are: supr-con
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The categories of this paper are: eess
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The categories of this paper are: gr-qc
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The categories of this paper are: math-ph
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The categories of this paper are: quant-ph
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The categories of this paper are: bayes-an
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The categories of this paper are: hep-ex
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The categories of this paper are: comp-gas
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The categories of this paper are: physics
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The categories of this paper are: cond-mat
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The categories of this paper are: funct-an
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The categories of this paper are: chao-dyn
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The categories of this paper are: hep-th
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The categories of this paper are: nlin