STATS 766 Multivariate Analysis

Below description edited in year: 2017

Points: 15

Prereqs: STATS 310

Textbooks: • Haerdle, W., Simar, L. (2003): Applied Multivariate Statistical Analysis, Springer, Heidelberg,

For Advice: Renate Meyer (Email: renate.meyer@auckland.ac.nz | extn: 85755)

Taught: Second Semester City

Website: STATS 766 website

STATS 766 focuses on the analysis of data with several response variables using modern computational techniques. Most data sets collected in disciplines such as finance, medicine, sociology, and ecology are of a multivariate nature (assets in stock markets, survival times of twins, consumer preferences, occurence of species) and only a joint analysis using multivariate statistical tools will provide an adequate modelling and understanding. This course will introduce the classical multivariate statistical techniques (principal component analysis, discriminant analysis, canonical correlation analysis, correspondence analysis, factor analysis, multidimensional scaling) based on the multivariate normal distribution theory. We will furthermore look at modern approaches to dependence modelling using copulas. The focus will be on practical statistical data analysis with relevant examples taken from finance, biostatistics, and ecology. Students will be expected to have some experience with R (or SAS or similar software). The necessary matrix algebra concepts will be introduced in lectures and tutorial sessions.

Topics studied include: Matrix algebra, multivariate distributions, theory of the multinormal distribution, principal component analysis, discriminant analysis, canonical correlation analysis, correspondence analysis, factor analysis, multidimensional scaling, cluster analysis, dependence modelling using copulas

Disclaimer:
Although every reasonable effort is made to ensure accuracy, this information for the course year (2017), is provided as a general guide only for students and is subject to alteration. All students enrolling at the University of Auckland must consult its official document, the University of Auckland Calendar, to ensure that they are aware of and comply with all regulations, requirements and policies.