regstat - An Exact Test for a Change in Covariance (Dependence) Structure
An exact finite-sample test for whether two groups share a
covariance matrix, the omnibus form of the differential-network
question. Under the Gaussian null the likelihood-ratio
statistic has a distribution given by the real Jacobi ensemble
that is free of the unknown common covariance, so a single
Monte-Carlo calibration at the identity serves every covariance
with no estimate of the nuisance covariance; this is the
property that survives the dimension barrier, where estimating
the covariance is hardest. The max-type high-dimensional test
of Cai, Liu and Xia (2013) <doi:10.1080/01621459.2012.758041>
is provided for comparison. A pure-C back-end does the numerics
and also backs the 'Python' package 'regstat'.
