Contiguity under high-dimensional Gaussianity with applications to covariance testing
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 Tn under a nonnull sequence of probability measures {Qn}, provided its limiting distribution under a null sequence {Pn} is available, and the log likelihood ratio {log(dQn/dPn)} has a distributional limit. Despite its …