Sketched covariance testing: A compression-statistics tradeoff

Abstract

Hypothesis testing of covariance matrices is an important problem in multivariate analysis. Given n data samples and a covariance matrix ∑0, the goal is to determine whether or not the data is consistent with this matrix. In this paper we introduce a framework that we call sketched covariance testing, where the data is provided after being compressed by multiplying by a "sketching" matrix A chosen by the analyst. We propose a statistical test in this setting and quantify an achievable sample complexity as a function of the amount of compression. Our result reveals an intriguing achievable tradeoff between the compression ratio and the statistical information required for reliable hypothesis testing; the sample complexity increases as the fourth power of the amount of compression.