67 citations · 67 across the 1 of their papers we have counts for
5 papers
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…
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…