4 papers
How weak are weak factors? Uniform inference for signal strength in signal plus noise models
Anna Bykhovskaya, Vadim Gorin, Sasha Sodin
The paper analyzes four classical signal-plus-noise models: the factor model, spiked sample covariance matrices, the sum of a Wigner matrix and a low-rank perturbation, and canonic…
Canonical Correlation Analysis: review
Anna Bykhovskaya, Vadim Gorin
For over a century canonical correlations, variables, and related concepts have been studied across various fields, with contributions dating back to Jordan [1875] and Hotelling [1…
Largevars: An R Package for Testing Large VARs for the Presence of Cointegration
Anna Bykhovskaya, Vadim Gorin, Eszter Kiss
Cointegration is a property of multivariate time series that determines whether its non-stationary, growing components have a stationary linear combination. Largevars R package con…
High-Dimensional Canonical Correlation Analysis
Anna Bykhovskaya, Vadim Gorin
This paper studies high-dimensional canonical correlation analysis (CCA) with an emphasis on the vectors that define canonical variables. The paper shows that when two dimensions o…