Minimax rates in variance and covariance changepoint testing

We study the detection of a change in the spatial covariance matrix of n independent sub-Gaussian random variables of dimension p. Our first contribution is to show that (8n) is the exact minimax testing rate for a change in variance when p=1, thereby giving a complete characterization of the problem for univariate data. Our second contribution is to derive a lower bound on the minimax testing rate under the operator norm, taking a certain notion of sparsity into account. In the low- to moderate-dimensional region of the parameter space, we are able to match the lower bound from above with an optimal test based on sparse eigenvalues. In the remaining region of the parameter space, where the dimensionality is high, the minimax lower bound implies that changepoint testing is very difficult. As our third contribution, we propose a computationally feasible variant of the optimal multivariate test for a change in covariance, which is also adaptive to the nominal noise level and the sparsity level of the change.