Two sample tests for high-dimensional autocovariances

The problem of testing for the equality of autocovariances of two independent high-dimensional time series is studied. Tests based on the suprema or sums of suitable averages across the dimensions are adapted from the available literature. Another test based on principal component analysis (PCA) is introduced and studied in theory. An extension is also considered to the setting of testing for the equality of autocovariances of two populations, having multiple individual high-dimensional series from the two populations. The proposed methodologies are assessed on simulated data, with the performance of the introduced PCA testing being superior overall. An application using fMRI data from individuals experiencing two different emotional states is provided.