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Symbiosis International (Deemed University)

COURSE DETAILS

Name of the Programme : Master of Science (Data Science)


Semester : 2
Course Name : Multivariate Statistics - I
Course Code : T6699
No. of Credit : 4

Learning Objectives:
The objective of this course is to explore multivariate probability distributions
in practice. It provides knowledge within multivariate statistics: theory,
calculation technique and applications.

Successful completion of this course will prepare students for further courses
like Multivariate Statistics – II, Statistical Machine Learning, and will provide
with a foundation for understanding applications.

Pre-learning:

Probability Distributions. Linear Algebra.

Course Outline:
Module Topic
No.
1 Multivariate Normal Distribution, Linearity property of
Multivariate Normal Distribution, Marginal and Joint
distribution and their properties. Necessary and sufficient
conditions for multivariate normality.
2 Quadratics form and its distributions, Cochran’s theorem
3 Wishart distribution, derivation and properties, additivity,
determinant of W, distribution of multiple and partial
correlation
Symbiosis International (Deemed University)

4 Hoteling’s T2 , Union – intersection principle, null and non-null


distribution, application to testing linear hypothesis in mean
vector, profile analysis.
5 Other multivariate distribution, Multivariate Exponential
distribution, Multivariate Gamma distribution, Multivariate
Beta distribution, Introduction to Copula function.
6 Inference on Multivariate Normal distribution, MLE of mean
vector, Variance-Covariance Matrix, Multiple and partial
correlation.
7 Problem solving using statistical software

Books Recommended:

 Anderson, T. W. (1984). Introduction to Multivariate Analysis (John


Wiley)
 Johnson R.A. & Wichern, D.W. (1988). Applied Multivariate Statistical
Analysis (Prentice Hall Inc.)
 Kotz, S., Balakrishnan N. and Johnson N. L. (2000). Continuous
Multivariate Distributions, Volume 1, Models and Applications (John
Wiley & Sons)
 Kshirsagar, A. M. (1983). Multivariate Analysis (Marcel Dekker)
 Mardia ,K. V. & Jupp, P. E. (2000), Directional Statistics (John Wiley &
Sons)
 Morrison, D.F. (1990). Multivariate Statistical Methods (McGraw Hill
Co.)
 Timm, N. H. (2002), Applied Multivariate Analysis (Springer, New York)

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