STAT 616, MULTIVARIATE STATISTICS, SPRING 2010

Instructor

  • Dr Marc G. Genton
  • E-mail: genton@stat.tamu.edu
  • Phone: 458-0889
  • Office: 502B Blocker
  • Office hours: Monday 3-5pm


  • Textbook

  • Mardia, K. V., Kent, J. T., Bibby, J. M. (1979), Multivariate Analysis, Academic Press


    Course Schedule

    Lecture: T R: 3:55-5:10PM in Blocker 411
    Preq: STAT 611, 612

    Course information ( .pdf )


    R tutorial ( .pdf )

    Topics

    Jan. 19: Introduction
    Jan. 21: Summary statistics
    Jan. 26: Linear transformations, graphics, measures of skewness and kurtosis
    Jan. 28: Multivariate distributions: mcdf
    Feb. 2: mpdf, marginals and conditionals, indepdence
    Feb. 4: Equality in distribution, transformations
    Feb. 9: Characteristic functions
    Feb. 11: Multivariate moments, Multivariate normal distribution HW1 due
    Feb. 16: -
    Feb. 18: -
    Feb. 23: Multivariate normal distribution: properties HW2 due
    Feb. 25: Multivariate skew-elliptical distributions
    Mar. 2: Transformation of Normal data matrices Project proposal due
    Mar. 4: Whishart and Hotelling distributions, Cochran theorem,
    Mar. 9: Estimation
    Mar. 11: Estimation with constraints HW3 due
    Mar. 16: SPRING BREAK
    Mar. 18: SPRING BREAK
    Mar. 23: Hypothesis tests
    Mar. 25: Union-intersection and other tests
    Mar. 30: PCA
    Apr. 1: PCA HW4 due
    Apr. 6: PCA
    Apr. 8: -
    Apr. 13: Canonical correlation
    Apr. 15: Factor analysis
    Apr. 20: Factor analysis HW5 due
    Apr. 22: Multidimensional scaling draft project report due
    Apr. 27: Project presentations: R. Wei; A. Zollanvari; M. Cefalu; L. Wang
    Apr. 29: Project presentations: K.-S. Wang; Y. Xu; C. Choi
    May 4: No class (Friday class): final project report due in my mailbox by 5pm


    Homeworks

    HW1: MKB 1.4.1, 1.4.2 and Exercice 1 *** Exercise 1 due Feb. 11 ***

    Exercise 1: Find a recent and exciting multivariate dataset and compute its summary statistics: sample mean vector, covariance and correlation matrices, skewness and kurtosis. Give some graphical description and interpret the results. Provide: 1) results+interpretation; 2) data; 3) software commands.

    HW2: MKB 2.2.1, 2.2.2, 2.2.3, 2.5.1, 2.6.5 *** 2.5.1 due Feb. 23 ***

    HW3: MKB 3.2.6, 3.3.4, 3.3.5, 4.2.3, 4.2.6 *** 3.3.4 due March 11 ***

    HW4: MKB 4.2.12, 5.3.1, 5.3.2, 5.3.3, 5.7.3 *** 5.7.3 due April 1 ***

    HW5: MKB 8.3.3, 8.4.2, 10.2.6, 10.2.13, 9.6.1 *** 8.4.2 due April 20 ***

    Links and Data Sets

  • STATOO: Newsletters
  • R help videos
  • Statistics with R
  • Quick-R
  • Skew-Elliptical Distributions
  • Adelchi Azzalini's Skew-Normal Webpage


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