Author

P. Hansen

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Preprint Sep 2026

Local Optimality and Rigidity of Frobenius Tests for Dense High-Dimensional Covariance Alternatives

We study identity testing for high-dimensional covariance matrices against dense alternatives of unknown direction, with $p/n \to \gamma$. Along a globally positive quadratic precision path, mixing Gaussian alternatives over a Gaussian Orthogonal Ensemble direction yields a contiguous experiment whose log likelihood re...

P. Hansen, W. Ploberger, Tong Chen · 0 citations

Preprint Aug 2026

Bartlett Couplings of the Onion and Vine LKJ Samplers

The extended-onion and C-vine constructions of Lewandowski, Kurowicka and Joe (2009) are standard methods for sampling from the LKJ_n(eta) distribution on correlation matrices. We show that both arise from the simpler row-normalized Bartlett construction associated with the restricted-Wishart representation of Wang, Wu...

P. Hansen · 0 citations

Preprint Aug 2026

Correlation Matrices in High Dimensions: The Elliptope as a Sample-Correlation Ensemble

The set of $n\times n$ correlation matrices, known as the elliptope, has volume decaying at the super-exponential rate $\exp\{-\tfrac14 n^2\log n\}$. We characterize where this vanishing volume concentrates. A uniform draw is entrywise close to the identity yet globally far from it and nearly singular: its maximum abso...

P. Hansen · 1 citation