137 citations · 210 across the 9 of their papers we have counts for
12 papers
Precise asymptotics for the norm of large random rectangular Toeplitz matrices
Alexei Onatski
We study the spectral norm of large rectangular random Toeplitz and circulant matrices with independent entries. For Toeplitz matrices, we show that the scaled norm converges to th…
The smallest singular value of large random rectangular Toeplitz and circulant matrices
Alexei Onatski, Vladislav Kargin
Let , be a sequence of i.i.d. standard normal random variables. Consider rectangular Toeplitz …
Spin glass to paramagnetic transition and triple point in Spherical SK model
Iain M. Johnstone, Yegor Klochkov, Alexei Onatski +1
This paper studies spin glass to paramagnetic transition in the Spherical Sherrington-Kirkpatrick model with ferromagnetic Curie-Weiss interaction with coupling constant and in…
An edge CLT for the log determinant of Wigner ensembles
Iain M. Johnstone, Yegor Klochkov, Alexei Onatski +1
We derive a Central Limit Theorem (CLT) for where is a Wigner matrix, and is local to the edge of the se…
Alternative asymptotics for cointegration tests in large VARs
Alexei Onatski, Chen Wang
Johansen's (1988, 1991) likelihood ratio test for cointegration rank of a Gaussian VAR depends only on the squared sample canonical correlations between current changes and past le…
Testing in high-dimensional spiked models
Iain M. Johnstone, Alexei Onatski
We consider the five classes of multivariate statistical problems identified by James (1964), which together cover much of classical multivariate analysis, plus a simpler limiting…
Local Asymptotic Normality of the spectrum of high-dimensional spiked F-ratios
Prathapasinghe Dharmawansa, Iain M. Johnstone, Alexei Onatski
We consider two types of spiked multivariate F distributions: a scaled distribution with the scale matrix equal to a rank-one perturbation of the identity, and a distribution with…
Asymptotic power of sphericity tests for high-dimensional data
Alexei Onatski, Marcelo J. Moreira, Marc Hallin
This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observat…
Signal Detection in High Dimension: The Multispiked Case
Alexei Onatski, Marcelo J. Moreira, Marc Hallin
This paper deals with the local asymptotic structure, in the sense of Le Cam's asymptotic theory of statistical experiments, of the signal detection problem in high dimension. More…
Detection of weak signals in high-dimensional complex-valued data
Alexei Onatski
This paper considers the problem of detecting a few signals in high-dimensional complex-valued Gaussian data satisfying Johnstone's (2001) \textit{spiked covariance model}. We focu…
The Tracy--Widom limit for the largest eigenvalues of singular complex Wishart matrices
Alexei Onatski
This paper extends the work of El Karoui [Ann. Probab. 35 (2007) 663--714] which finds the Tracy--Widom limit for the largest eigenvalue of a nonsingular -dimensional complex Wi…
Dynamics of Interest Rate Curve by Functional Auto-Regression
Vladislav Kargin, Alexei Onatski
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-re…