Alexei Onatski

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All published works

Action	Title	Year	Authors
+ PDF Chat	The smallest singular value of large random rectangular Toeplitz and circulant matrices	2024	Alexei Onatski Vladislav Kargin
+	An edge CLT for the log determinant of Wigner ensembles	2024	Iain M. Johnstone Yegor Klochkov Alexei Onatski Damian Pavlyshyn
+	Spin Glass to Paramagnetic Transition and Triple Point in Spherical SK Model	2024	Iain M. Johnstone Yegor Klochkov Alexei Onatski Damian Pavlyshyn
+	SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS	2024	Alexei Onatski Chen Wang
+	The Hallin-Liška Criterion Through the Lens of the Random Matrix Theory	2024	Alexei Onatski
+	Set coverage and robust policy	2021	Marc Henry Alexei Onatski
+	Spin glass to paramagnetic transition in Spherical Sherrington-Kirkpatrick model with ferromagnetic interaction.	2021	Iain M. Johnstone Yegor Klochkov Alexei Onatski Damian Pavlyshyn
+	Set coverage and robust policy	2021	Marc Henry Alexei Onatski
+	Spin glass to paramagnetic transition in Spherical Sherrington-Kirkpatrick model with ferromagnetic interaction	2021	Iain M. Johnstone Yegor Klochkov Alexei Onatski Damian Pavlyshyn
+	An edge CLT for the log determinant of Gaussian ensembles.	2020	Iain M. Johnstone Yegor Klochkov Alexei Onatski Damian Pavlyshyn
+	Spectral distribution of the sample covariance of high-dimensional time series with unit roots	2020	Alexei Onatski Chen Wang
+ PDF Chat	Testing in high-dimensional spiked models	2020	Iain M. Johnstone Alexei Onatski
+	An edge CLT for the log determinant of Wigner ensembles	2020	Iain M. Johnstone Yegor Klochkov Alexei Onatski Damian Pavlyshyn
+ PDF Chat	Extreme canonical correlations and high-dimensional cointegration analysis	2019	Alexei Onatski Chen Wang
+	Extreme canonical correlations and high-dimensional cointegration analysis	2018	Alexei Onatski Chen Wang
+	Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios	2018	Prathapasinghe Dharmawansa Iain M. Johnstone Alexei Onatski
+	Testing in High-Dimensional Spiked Models	2018	Iain M. Johnstone Alexei Onatski
+ PDF Chat	Alternative Asymptotics for Cointegration Tests in Large VARs	2018	Alexei Onatski Chen Wang
+	Model Uncertainty	2018	Alexei Onatski
+	Alternative asymptotics for cointegration tests in large VARs	2016	Alexei Onatski Chen Wang
+	Testing in high-dimensional spiked models	2015	Iain M. Johnstone Alexei Onatski
+ PDF Chat	Asymptotic analysis of the squared estimation error in misspecified factor models	2015	Alexei Onatski
+	Testing in high-dimensional spiked models	2015	Iain M. Johnstone Alexei Onatski
+	Local Asymptotic Normality of the spectrum of high-dimensional spiked F-ratios	2014	Prathapasinghe Dharmawansa Iain M. Johnstone Alexei Onatski
+	Signal detection in high dimension: The multispiked case	2014	Alexei Onatski Marcelo J. Moreira Marc Hallin
+ PDF Chat	DETECTION OF WEAK SIGNALS IN HIGH-DIMENSIONAL COMPLEX-VALUED DATA	2014	Alexei Onatski
+	Local Asymptotic Normality of the spectrum of high-dimensional spiked F-ratios	2014	Prathapasinghe Dharmawansa Iain M. Johnstone Alexei Onatski
+	Asymptotic power of sphericity tests for high-dimensional data	2013	Alexei Onatski Marcelo J. Moreira Marc Hallin
+	Signal Detection in High Dimension: The Multispiked Case	2012	Alexei Onatski Marcelo J. Moreira Marc Hallin
+	Signal Detection in High Dmension: The Multispiked Case	2012	Alexei Onatski J.M.L. Moreira Marc Hallin
+	Detection of weak signals in high-dimensional complex-valued data	2012	Alexei Onatski
+	Appendix to the paper “Determining the Number of Factors from Empirical Distribution of Eigenvalues”	2012	Alexei Onatski
+	Detection of weak signals in high-dimensional complex-valued data	2012	Alexei Onatski
+	Signal Detection in High Dimension: The Multispiked Case	2012	Alexei Onatski Marcelo J. Moreira Marc Hallin
+ PDF Chat	Set coverage and robust policy	2011	Marc Henry Alexei Onatski
+	UNIT ROOTS IN WHITE NOISE	2011	Alexei Onatski Harald Uhlig
+	Asymptotic Power of Sphericity Tests for High-Dimensional Data	2011	Alexei Onatski J.M.L. Moreira Marc Hallin
+ PDF Chat	Set Coverage and Robust Policy	2011	Marc Henry Alexei Onatski
+	Unit Roots in White Noise	2011	Harald Uhlig Alexei Onatski
+ PDF Chat	Determining the Number of Factors from Empirical Distribution of Eigenvalues	2010	Alexei Onatski
+	Unit Roots in White Noise	2009	Harald Uhlig Alexei Onatski
+	Testing Hypotheses About the Number of Factors in Large Factor Models	2009	Alexei Onatski
+	Unit Roots in White Noise	2009	Alexei Onatski Harald Uhlig
+	The Tracy–Widom limit for the largest eigenvalues of singular complex Wishart matrices	2008	Alexei Onatski
+	Curve forecasting by functional autoregression	2008	Vladislav Kargin Alexei Onatski
+	Model Uncertainty	2008	Alexei Onatski
+	Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise.	2007	Alexei Onatski
+	Dynamics of Interest Rate Curve by Functional Auto-Regression	2004	Vladislav Kargin Alexei Onatski
+	Dynamics of Interest Rate Curve by Functional Auto-Regression	2004	Vladislav Kargin Alexei Onatski

Common Coauthors

Coauthor	Papers Together
Iain M. Johnstone	13
Yegor Klochkov	6
Marc Hallin	6
Damian Pavlyshyn	6
Vladislav Kargin	4
Marcelo J. Moreira	4
Marc Henry	4
Harald Uhlig	4
Prathapasinghe Dharmawansa	3
Chen Wang	3
Chen Wang	2
J.M.L. Moreira	2
Chen Wang	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices	2005	Jinho Baik Gérard Ben Arous Sandrine Péché	12
+ PDF Chat	Distributions of Matrix Variates and Latent Roots Derived from Normal Samples	1964	A. T. James	9
+	Asymptotic power of sphericity tests for high-dimensional data	2013	Alexei Onatski Marcelo J. Moreira Marc Hallin	8
+ PDF Chat	On the distribution of the largest eigenvalue in principal components analysis	2001	Iain M. Johnstone	8
+	Eigenvalues of large sample covariance matrices of spiked population models	2005	Jinho Baik Jack W. Silverstein	7
+	Asymptotics and Special Functions	1997	F. W. J. Olver	7
+ PDF Chat	CLT for linear spectral statistics of large-dimensional sample covariance matrices	2004	Zhidong Bai Jack W. Silverstein	7
+ PDF Chat	Fundamental Limit of Sample Generalized Eigenvalue Based Detection of Signals in Noise Using Relatively Few Signal-Bearing and Noise-Only Samples	2010	Raj Rao Nadakuditi Jack W. Silverstein	6
+	Testing Hypotheses About the Number of Factors in Large Factor Models	2009	Alexei Onatski	6
+ PDF Chat	Spectral Analysis of Large Dimensional Random Matrices	2009	Zhidong Bai Jack W. Silverstein	6
+	METHODOLOGIES IN SPECTRAL ANALYSIS OF LARGE DIMENSIONAL RANDOM MATRICES, A REVIEW	2008	Zhidong Bai	6
+ PDF Chat	Level-spacing distributions and the Airy kernel	1994	Craig A. Tracy Harold Widom	5
+	A Fourier view on the <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.gif" overflow="scroll"><mml:mi>R</mml:mi></mml:math>-transform and related asymptotics of spherical integrals	2005	Alice Guionnet Mu Da	5
+	DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES	1967	V A Marčenko L. А. Pastur	5
+ PDF Chat	Fluctuations of the Free Energy of the Spherical Sherrington–Kirkpatrick Model	2016	Jinho Baik Ji Oon Lee	4
+ PDF Chat	Testing in high-dimensional spiked models	2020	Iain M. Johnstone Alexei Onatski	4
+	The rank 1 real Wishart spiked model	2011	M. Y. Mo	4
+ PDF Chat	Limits of spiked random matrices I	2012	Alex Bloemendal Bálint Virág	4
+ PDF Chat	An Introduction to Random Matrices	2009	Greg W. Anderson Alice Guionnet Ofer Zeitouni	4
+ PDF Chat	The Limiting Empirical Measure of Multiple Discriminant Ratios	1980	Kenneth W. Wachter	4
+ PDF Chat	The Largest Eigenvalue of Real Symmetric, Hermitian and Hermitian Self-dual Random Matrix Models with Rank One External Source, Part I	2012	Dong Wang	4
+ PDF Chat	Complex singular wishart matrices and applications	2005	Tharmalingam Ratnarajah Rémi Vaillancourt	4
+	Aspects of Multivariate Statistical Theory	1984	Leon Jay Gleser Robb J. Muirhead	4
+	A central limit theorem for the determinant of a Wigner matrix	2012	Terence Tao Van Vu	4
+ PDF Chat	Perturbation Theory for Linear Operators	1995	Tosio Kato	4
+ PDF Chat	No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices	1998	Zhidong Bai Jack W. Silverstein	4
+ PDF Chat	Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles	2007	Mylène Maïda	3
+ PDF Chat	Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size	2002	Olivier Ledoit Michael Wolf	3
+	Spherical Model of a Spin-Glass	1976	J. M. Kosterlitz D. J. Thouless R C Jones	3
+ PDF Chat	Joint density of eigenvalues in spiked multivariate models	2014	Prathapasinghe Dharmawansa Iain M. Johnstone	3
+ PDF Chat	Corrections to LRT on large-dimensional covariance matrix by RMT	2009	Zhidong Bai Dandan Jiang Jianfeng Yao Shurong Zheng	3
+	The planar approximation. II	1980	C. Itzykson Jean-Bernard Zuber	3
+ PDF Chat	Determinants of Airy Operators and Applications to Random Matrices	1999	Estelle Basor Harold Widom	3
+ PDF Chat	On Singular Wishart and Singular Multivariate Beta Distributions	1994	Harald Uhlig	3
+ PDF Chat	On the convergence of the spectral empirical process of Wigner matrices	2005	Zhidong Bai Jianfeng Yao	3
+	Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise.	2007	Alexei Onatski	3
+ PDF Chat	Rank 1 real Wishart spiked model	2012	M. Y. Mo	3
+ PDF Chat	Minimax Rank Estimation for Subspace Tracking	2010	Patrick O. Perry Patrick J. Wolfe	3
+	MOPS: Multivariate orthogonal polynomials (symbolically)	2007	Ioana Dumitriu Alan Edelman Gene Shuman	3
+	Tracy-Widom limit for the largest eigenvalue of a large class of complex Wishart matrices	2005	Noureddine El Karoui	3
+ PDF Chat	Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples	2008	Raj Rao Nadakuditi Alan Edelman	3
+	The rate of convergence for spectra of GUE and LUE matrix ensembles	2005	Friedrich Götze А. Н. Тихомиров	3
+	A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix	2005	James R. Schott	3
+	The Distribution of the Maximum of a Gaussian Process: Rice Method Revisited	2002	Jean‐Marc Azäis Mario Wschebor	3
+	On the Empirical Distribution of Eigenvalues of a Class of Large Dimensional Random Matrices	1995	Jack W. Silverstein Zhidong Bai	3
+	A note on the largest eigenvalue of a large dimensional sample covariance matrix	1988	Zhidong Bai Jack W. Silverstein Yanqing Yin	3
+ PDF Chat	Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)	1963	N. R. Goodman	3
+ PDF Chat	A Limit Theorem for the Norm of Random Matrices	1980	Stuart Geman	3
+ PDF Chat	Confidence Intervals for Partially Identified Parameters	2004	Guido W. Imbens Charles F. Manski	3
+ PDF Chat	Bayesian model averaging: a tutorial (with comments by M. Clyde, David Draper and E. I. George, and a rejoinder by the authors	1999	Jennifer A. Hoeting David Madigan Adrian E. Raftery Chris Volinsky	2