2 papers
math.ST2021
On singular values of data matrices with general independent columns
Tianxing Mei, Chen Wang, Jianfeng Yao
In this paper, we analyse singular values of a large data matrix where the column 's are indep…
math.ST2016
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…