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A First Course in Multivariate Statistics: Bernard Flury

This document is the table of contents for the book "A First Course in Multivariate Statistics" by Bernard Flury. It lists 9 chapters that will cover topics in multivariate statistics including the joint distribution of random variables, the multivariate normal distribution, parameter estimation, discrimination and classification, statistical inference for means, linear principal component analysis, and normal mixtures. It provides an overview of the key concepts and techniques that will be discussed in the book.

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Alonso Maximiliano Molina Núñez
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434 views4 pages

A First Course in Multivariate Statistics: Bernard Flury

This document is the table of contents for the book "A First Course in Multivariate Statistics" by Bernard Flury. It lists 9 chapters that will cover topics in multivariate statistics including the joint distribution of random variables, the multivariate normal distribution, parameter estimation, discrimination and classification, statistical inference for means, linear principal component analysis, and normal mixtures. It provides an overview of the key concepts and techniques that will be discussed in the book.

Uploaded by

Alonso Maximiliano Molina Núñez
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Bernard Flury

A First Course in Multivariate Statistics


With 141 Figures

Springer

Contents

Preface Software and Data Files 1. Why Multivariate Statistics? Exercises for Chapter 1 2. Joint Distribution of Several Random Variables 2.1. Introductory Remarks 2.2. Probability Density Function and Distribution Function of a Bivariate Random Variable 2.3. Marginal Distributions 2.4. Independence of Random Variables 2.5. Expected Values, Moments, Covariance, and Correlation 2.6. Conditional Distributions 2.7. Conditional Expectation and Regression 2.8. Mixed Discrete-Continuous Distributions and Finite Mixtures 2.9. Sums of Random Variables 2.10. Notions and Concepts of p-variate Distributions

vii xv 1 19 23 23 25 38 47 57 75 89 104 130 140

xii

Contents

2.11. Transformations of Random Vectors 3. The Multivariate Normal Distribution 3.1. 3.2. 3.3. 3.4. Review of the Univariate Normal Distribution Definition and Properties of the Multivariate Normal Distribution Further Properties of the Multivariate Normal Distribution Spherical and Elliptical Distributions

155 171 171 175 186 197 209 209 216 233 260 279 279 280 302 323 344 357 375 375 377 391 402 408 418 435 453 453 460 485 509 519 538

4. Parameter Estimation 4.1. 4.2. 4.3. 4.4. Introduction Plug-in Estimators Maximum Likelihood Estimation Maximum Likelihood Estimation with Incomplete Data

5. Discrimination and Classification, Round 1 5.1. 5.2. 5.3. 5.4. 5.5. 5.6. Introduction Standard Distance and the Linear Discriminant Function Using the Linear Discriminant Function Normal Theory Linear Discrimination Error Rates Linear Discriminant Functions and Conditional Means

6. Statistical Inference for Means 6.1. 6.2. 6.3. 6.4. 6.5. 6.6. 6.7. Introduction The One-Sample T2-Test Confidence Regions for Mean Vectors The Two-Sample T2-test Inference for Discriminant Function Coefficients Union-Intersection and Likelihood Ratio Testing Resampling-Based Testing

7. Discrimination and Classification, Round 2 7.1. 7.2. 7.3. 7.4. 7.5. 7.6. Optimal Classification Normal Theory Classification Revisited: Linear vs Quadratic Canonical Discriminant Functions Multivariate Analysis of Variance Simple Logistic Regression Multiple Logistic Regression

Contents

XIII

8. Linear Principal Component Analysis 8.1. 8.2. 8.3. 8.4. 8.5. 8.6. 8.7. Introduction Self-Consistent Approximations Self-Consistent Projections and Orthogonal Least Squares Properties of Linear Principal Components Applications Sampling Properties Outlook

563 563 568 578 592 605 617 625 639 639 645 656 663 679 687 687 687 688 689 690 691 692 693 695 695 703 711

9. Normal Mixtures 9.1. 9.2. 9.3. 9.4. 9.5. Introduction Maximum Likelihood Estimation The for Normal Mixtures Examples Epilogue: Normal Theory Discrimination with Partially Classified Data

Appendix: Selected Results From Matrix Algebra A.O. A.l. A.2. A.3. A.4. A.5. A.6. A.7. A.8. A.9. Preliminaries Partitioned Matrices Positive Definite Matrices The Cholesky Decomposition Vector and Matrix Differentiation Eigenvectors and Eigenvalues Spectral Decomposition of Symmetrie Matrices The Square Root of a Positive Definite Symmetrie Matrix Orthogonal Projections on Lines and Planes Simultaneous Decomposition of Two Symmetrie Matrices

Bibliography Index

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