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Multivariate Statistics - An Introduction 8th Edition

# Multivariate Statistics - An Introduction 8th Edition

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01/09/2013

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Multivariate Statistics -
An
Introduction
8.
ed.
Bjarne
Kjeer
Ersb0
ll
,
Knut
Kgs
.Lyngby
2012

Contents
1 Summary of linear algebra
1.1
Vector space . . . . . . . . . . . . .
1.1.1
Definition
of
a vector space1.1.2 Direct sum
of
vector spaces1.2 Linear transformations and matrices1.2.1 Linear transformations
...
1.2.2
Matrices...........
1.2.3 Linear transformations using matrix-formulation1.2.4 Coordinate transformation1.2.5 Rank
of
a matrix . . . .1.2.6 Determinant of a matrix .1.2.7 Block matrices
.....
.
1
1
2
55
7
8
10
11
13
1416
1.3
Pseudoinverse or generalised inverse matrix
18
forms.
. . 281.4.1 Eigenvalues and eigenvectors for symmetric matrices 291.4.2 Singular value decomposition
of
an arbitrary matrix.
Q-
and
R-mode
analysis . . . . . . . . . . . . . . . . . . . . . . 341.4.3 Quadratic forms and positive semi-definite matrices. . . . 371.4.4 The general eigenvalue problem for symmetrical matrices 431.4.5 The trace
of
a matrix . . . . . . . . . . . . . . . 461.4.6 Differentiation
of
linear form and quadratic form 471.5 Tensor-or Kronecker product
of
matrices 501.6 Inner products and
norms.
. . . . . . . .
51
2 Multidimensional variables
2.1
Moments
of
multidimensional random variables . . . . . . .
2.1.1
The mean value . . . . . . . . . . . . . . . . . . . .
2.1.2
The variance-covariance matrix (dispersion matrix).
2.1.3
Covariance.........
2.2
The multlvftrlatc normal
dtltributlon . . . . . . . . . . . . .
57
575758
61
63

,
2.2.1
Definilion and simple properlies
...
2.2.2 Independence and contour ellipsoids.2.2.3 Conditional distributions . . . . . . .2.2.4 Theorem of reproductivity and the central limit theorem.2.2.5 Estimation
of
the parameters in a multivariate normal distribu-2.32.42.5tion
....................
.2.2.6 The two-dimensional normal distribution.Correlation and regression . . . . . . . . .2.3.1 The partial correlation coefficient. .2.3.2 The multiple correlation coefficient2.3.3 Regression
......
.The partition theorem . . . . . .The Wishart distribution and thegeneralised variance .
....................
3
The
general
linear
model
3.1
Estimation in the general linear model3.1.1 Formulation
of
the Model. . .3.1.2 Estimation in the regular case3.1.3 The case
ofx':E-1x
singular.3.1.4 Constrained estimation
....
3.1.5 Confidence-intervals for estimated values.Prediction-intervals
...........
.3.2 Tests in the general linear model . . . . . . . . .3.2.1 Test for a lower dimension
of
model
space.
3.2.2 Successive testing in the general linear model. .4Regression analysis4.1 Linear regression analysis.4.1.1 Notation and model.
...
4.1.2 Correlation and regression.4.1.3 Analysis
of
assumptions
..
4.1.4 On "Influence Statistics" .4.2 Regression using orthogonal polynomials4.2.1 Definition and formulation
of
the model.4.2.2 Determination
of
orthogonal polynomials
..
4.3 Choice
of
the "best" regression equation4.3.1 The Problem
..........
.4.3.2 Examination
of
all regressions
..
4.3.3 Backwards elimination
..
4.3.4 Forward selection
..
4.3.5 Stepwise regression.4.3.6 Numerical appendix.4.4 Other regression models and solutions4.4.
I
Orth0lona1
rclrcIIII\on
(lincW'
functional
relationlhlp).
••
M
69
73747577
83
83
909397
103
109
109109112118128134
141141
150161
161161
165
167170176176180
185185
188190192
195
197
203
2()3
4.4.24.4.3Regulurization and Ridge Regression .Non-linear regression and curve fitting.5 Tests
inthe
multidimensional
normal
distribution
5.1
Test for mean value. . . . . . . . . . . . . . . .5.1.1 Hotelling's
T2
in the One-Sample Situation5.1.2 HoteHing's
T2
in the two-sample situation.5.2 The multidimensional general linear model. . . . .5.3 Multivariate Analyses of Variance (MANOVA)
..
5.3.1 One-sided multi-dimensional analysis
of
variance.5.3.2 Two-sided multidimensional analysis of variance .5.4 Tests regarding variance-covariance matrices
......
.5.4.1 Tests regarding a single variance-covariance matrix5.4.2 Test for equality
of
several variance-covariance matrices207215221
221
221
226
231
2432432452522522556 Discriminant analysis 257
6.1
Discrimination between two populations . . . . . . . . . 2576.1.1 Bayes and minimax solutions
..........
2576.1.2 Discrimination between two normal populations 2606.1.3 Discrimination with unknown parameters 2696.1.4 Test for best discrimination
function.
271
6.1.5 Test for further information 2746.2 Discrimination between several populations . 2766.2.1 The Bayes solution . . . . . . . . . . 2766.2.2 The Bayes' solution in the case with several normal distributions2776.2.3 Canonical Discriminant Analysis
...............
2807
Principal
components, canonical variables
and
correlations,
and
factoranalysis 2877.1 Principal components . . . . . . . . . . . . . 2887.1.1 Definition and simple characteristics . 2887.1.2 Estimation and Testing . . . . . . . . 2927.2 Canonical variables and canonical correlations . 2997.2.1 Definition and properties 2997.2.2 Estimation and testing . 3027.3 Factor analysis
.........
3047.3.1 Model and assumptions 3047.3.2 Estimation
of
factor
3067.3.3 Factor rotation . . . . . . . . 3097.3.4 Computation
of
the factor scores . 3137.3.5 Briefly on maximum likelihood factor analysis 3177.3.6 Q-mode analysis . . . . . . . . . . . . . . . . 320
Blbllolraphy
323
Index
325