Modified Pillai's trace statistics for two high-dimensional sample covariance matrices

Abstract: The goal of this study was to test the equality of two covariance matrices by using modified Pillai's trace statistics under a high-dimensional framework, i.e., the dimension and sample sizes go to infinity proportionally. In this paper, we introduce two modified Pillai's trace statistics and obtain their asymptotic distributions under the null hypothesis. The benefits of the proposed statistics include the following: (1) the sample size can be smaller than the dimensions; (2) the limiting distributions of the proposed statistics are universal; and (3) we do not restrict the structure of the population covariance matrices. The theoretical results are established under mild and practical assumptions, and their properties are demonstrated numerically by simulations and a real data analysis.