# Multivariate Statistics (MATH 620156)

### Spring 2022

### Lecture Time and Venue:

Wednesday, 18:30-21:05, H4106

### Grading:

- Final Exam: 60%
- Homework: 40%

### Homework:

- Homework 1, deadline is April 06, 2022. [pdf]
- Homework 2, deadline is April 20, 2022. [pdf]
- Homework 3, deadline is May 18, 2022. [pdf]
- Homework 4, deadline is May 31, 2022. [pdf]
- Homework 5, deadline is June 18, 2022. [pdf]

### Reading Materials:

- Theodore W. Anderson. "An Introduction to Multivariate Statistical Analysis". John Wiley & Sons Inc; 3rd Edition. [link]
- 张尧庭/方开泰. "多元统计分析引论". 科学出版社, 2015. [link]

### Courseware (subject to changes):

- Mar 02: The Review of Linear Algebra. [pdf]
- Mar 09: Multivariate Distributions, Multivariate Normal Distribution. [pdf]
- Mar 16: Multivariate Normal Distribution, Singular Normal Distributions. [pdf]
- Mar 23: Conditional Distribution, Characteristic Function, The Maximum Likelihood Estimators. [pdf]
- Mar 30: Properties of the Maximum Likelihood Estimators, Sufficiency, Completeness. [pdf]
- Apr 06: Efficiency, Asymptotic Normality, Decision Theory, The Biased Estimator, Chi-Squared Distribution. [pdf]
- Apr 13: Noncentral Chi-Squared Distribution, Hypothesis Testing for the Mean (Covariance is Known), The Generalized T
^{2}-Statistic. [pdf]
- Apr 20: The Distribution and Uses of T
^{2}-Statistic. [pdf]
- Apr 27: The Distribution and Uses of the Sample (Partial) Correlation Coefficient. [pdf]
- May 04: The Wishart Distribution, The Generalized Variance, The Inverted Wishart Distribution. [pdf]
- May 11: Multivariate Linear Regression, Testing Hypotheses of Equality of Covariance Matrices. [pdf]
- May 18: Principal Components, Canonical Correlation. [pdf]
- May 25: Factor Analysis, Probabilistic Principal Components. [pdf]
- May 28: Course Review. [pdf]

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