Multivariate Statistical Analysis (STAT 50023)

Lecture Time and Venue:

Grading:

Reading Materials:

• Richard A. Johnson, Dean W. Wichern. "Applied Multivariate Statistical Analysis". Pearson; 6th Edition. [link]
• 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):

• Sep 10: Introdution, Review of Linear Algebra and Optimization. [pdf]
• Sep 17: Random Vectors and Matrices, Random Samples, Generalized Variance. [pdf]
• Sep 24: Multivariate Normal Distribution, Linear Transformation, Marginal Distribution. [pdf]
• Oct 12: Singular Normal Distribution, Conditional Distribution. [pdf]
• Oct 15: Characteristic Function, Maximum Likelihood Estimator of Mean and Covariance. [pdf]
• Oct 22: Maximum Likelihood Estimator, Distribution Theory. [pdf]
• Oct 29: Unbiasedness, Sufficiency, Completeness, Efficiency. [pdf]
• Nov 05: Consistency, Asymptotic Normality, Bayesian Estimation. [pdf]
• Nov 12: James–Stein Estimator, Noncentral Chi-Squared Distribution. [pdf]
• Nov 19: Hypothesis Testing for the Mean (Covariance is Known), Sample Correlation Coefficient. [pdf]