STAT 832: Multivariate Statistical Analysis

Course information

• Instructor: Peter Hoff
• TA: Christine Shen
• Lecture: MW 10:05-11:20, Perkins LINK 060 (Classroom 1)
• Office hours: TT 9:00-10:00 Old Chem 219 (PH), M 3:00-4:00, F 10:00-11:00 Old Chem 203B (CS)

Course materials

• Lecture notes, code and data
• Multivariate Analysis (Mardia, Kent and Bibby)
• Matrix-Based Introduction to Multivariate Data Analysis (Adachi)
• Applied Multivariate Statistical Analysis (Hardle and Simar)
• Modern Multivariate Statistical Techniques (Izenman)
  
• Sakai link

Announcements

2023-11-15: Hw 9b is assigned, due 11/29 by the end of the day.

2023-11-08: Hw 9a is assigned, due 11/15 by the end of the day.

2023-11-01: Hw 8b is assigned, due 11/08 by the end of the day.

2023-10-25: Hw 8a is assigned, due 11/01 by the end of the day.

2023-10-11: Hw 7 is assigned, due 10/25 by the end of the day.

2023-10-04: Hw 6 is assigned, due 10/11 by the end of the day.

2023-09-27: Hw 5 is assigned, due 10/04 by the end of the day.

2023-09-20: Hw 4 is assigned, due 09/27 by the end of the day.

2023-09-13: Hw 3 is assigned, due 09/20 by the end of the day.

2023-09-06: Hw 2 is assigned, due 09/13 by the end of the day.

2023-08-30: Hw 1 is assigned, due 09/06 by the end of the day.

2023-08-28: Read the notes on PCA

Tentative schedule of topics

1. Unsupervised analysis
   1. eigendecompositions and PCA
   2. Mean and covariance estimation and testing
   3. Factor analysis
   4. Signal separation
2. Supervised analysis
   1. General linear model
   2. Classification
3. Special topics
   1. Kernel methods
   2. Multilinear models
   3. Copulas
   4. Clustering

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   Supplementary materials

   • The Matrix Cookbook
   • Matrix Differential Calculus with Applications in Statistics and Econometrics

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   Evaluation

   • 60% Homework
   • 20% Data project
   • 20% Review project
   • 10% per-late day penalty (including weekends)