The Sample Complexity of Robust Covariance Testing

We study the problem of testing the covariance matrix of a high-dimensional Gaussian in a robust setting, where the input distribution has been corrupted in Huber's contamination model. Specifically, we are given i.i.d. samples from a distribution of the form $Z = (1-\epsilon) X + \epsilon B$, where $X$ is a zero-mean and unknown covari...More