  Comparing large covariance matrices has important applications in modern
genomics, where scientists are often interested in understanding whether
relationships (e.g., dependencies or co-regulations) among a large number of
genes vary between different biological states. We propose a computationally
fast procedure for testing the equality of two large covariance matrices when
the dimensions of the covariance matrices are much larger than the sample
sizes. A distinguishing feature of the new procedure is that it imposes no
structural assumptions on the unknown covariance matrices. Hence the test is
robust with respect to various complex dependence structures that frequently
arise in genomics. We prove that the proposed procedure is asymptotically valid
under weak moment conditions. As an interesting application, we derive a new
gene clustering algorithm which shares the same nice property of avoiding
restrictive structural assumptions for high-dimensional genomics data. Using an
asthma gene expression dataset, we illustrate how the new test helps compare
the covariance matrices of the genes across different gene sets/pathways
between the disease group and the control group, and how the gene clustering
algorithm provides new insights on the way gene clustering patterns differ
between the two groups. The proposed methods have been implemented in an
R-package HDtest and is available on CRAN.
